In the Grand Am the filter is behind the glove box. It may be the same in the Grand Prix. Open your box, you should be able to remove it by gently pushing the sides in up by the dash. The filter should be foam type in a plastic frame.
Changing the filter is good, but you will need to air the car out for a while. You may be able to eliminate some of the odor by spraying a generous amount of Lysol or other disinfectant/deodorant into the duct intake just inside the air cabin filter. I would do this with the fan running on high to distribute it throughout the duct system.