bigal_nz: Is it something you can see, like a normal filter between the socket and the line, or is it built into the unit?
Unless you have a master filter installed and a clearly marked jackpoint solely for your ADSL connection every device plugged into a phone socket requires an ADSL filter. This includes phones, alarms and sky boxes.
The filter is a physical one that plugs into the jackpoint, it is not built into the unit.
Bigal, is this the same house where you found a FFTH the other day or one on ADSL. If on fibre no filters are needed, if ADSL then as the others have said, all voice band POTS (Plain old Telephone Service) devices, ie Phones, Modems (except ADSL ones) etc need a filter. A Sky Box and Fax machine are just normal voice band modems.
Obviously if there is a central filter installed, then you dont need a filter anywhere, if a central filter has been installed then there should be a phone socket labeled ADSL that is where you plug your ADSL modem into, and no where else.