A filter retaining system formed from multiple filter retaining frames is disclosed. Each of the frames is formed from either a female type extrusion or a combination of male and female type extrusions. Specifically, each frame has either a tongue or a groove which is engageable into a corresponding groove or tongue of an adjacent frame. The tongue and groove engagement provides added rigidity to the retaining system, as well as preventing air from bypassing the filters retained within each frame.