I have a 2003 GT, the holder is there but there was no actual filter in mine. I've put one in, I bought a large filter from Canadian Tire (or walmart or wherever) and cut a piece big enough to fit it. I've changed it once since then(Probably let it go about 3 months) and man it was REALLY dirty. So it's definately worth it. Buy the biggest filter you can, and then you'll get probably 4 cabin filters out of it.
Easy to do, twist the two pins in the glove box, reach in and pull it out.