Closed rain barrels sold with a diverter differ from barrels with screw-top lids.
A filter is not included, but you can add one easily. The white flexible and expandable diverter hose runs between the black T-shaped adaptor and the diverter. On the diverter end, the hose connects to a barbed fitting that threads into the diverter. You could place sheer hosiery (also known as pantyhose or tights or stockings) over that fitting before sliding the hose over the fitting. You may find that one end of the hose is a little larger than the other, so the larger end can be used to slide over the stocking and fitting.
Just a reminder of course that prevention at the source is a great idea. Check the top of the downspout on your home, garage or other building your barrel is connected to and be sure a filter is there too!