The North American Gen. III Montero didn't come with a cabin air filter either.
After a bit of investigation, I found that the filter used in this model overseas can be installed into our Monteros.
The install area in behind the lower glove box. Remove the two restricters that keep the glove box from falling all the way open.
You'll see the vent system with a metal bracket bolted to the right to support the glove box.
Remove the single 10mm bolt that holds the bracket in place.
I used a Dremel tool to cut the rectangular space out that receives the filter (follow the outline-it's an exact fit).
Reinstalling the metal bracket will hold the filter in tightly enough to compress the foam sealing strip on the flange of the filter.
Here are a couple of pics.
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