You need to buy a cold air intake for your car. It replaces the stock air intake.(the box your air filter is in!)
in the air cleaner box assembly
air conditioner relay location
Vehicle does not have a cabin air filter
You may need to replace your Thermostat or your Heater Core.
Take it to the dealer or garage as it is hard to get the air out of the line.
check around on the throttle body right before the the intake runners
The AC Filter is known as a Cabin Air Filter in a 2006 Kia Sedona. You will have to remove the glove box, and take off the housing assembly cover. From ,there your will pull the air filter out and replace new.
As far as I know, there is no such thing as an airconditioner filter.
On my 1997 KIA Sephia, I had a problem similar to what you indicate. I had to replace the shift inhibitor mounted onto of the gear selector on the transmission. When you look down in the engine bay, between the motor and the air filter box, you should see where the gear shifter hooks to the transmission (have someone in the car move it to help you see it). Autozone lists that part as the neutral safety switch for an automatic, but it's much cheaper from KIA.
A clicking noise after changing an air filter on a car could indicate there is a problem. You should consult a car care professional.