A separate deliverable embolic protection device filter that attaches to a helical coil at a distal end of a conventional guide, for use in a blood vessel when an interventional procedure is being performed to capture any embolic material which may be created and released into the bloodstream during the procedure. The device includes a filter assembly with a proximal end and a distal end, and a guide wire connector attached to the distal end of the filter assembly. The guide wire connector is able to couple with the helical coil of the guide wire. A restraining sheath placed over the filter assembly in a coaxial arrangement maintains the filter assembly in a collapsed position and delivers the filter assembly separately to the helical coil of the guide wire, and then the guide wire connector is joined to the helical coil. Alternatively, the guide wire can include a rotatable coil section forming a portion of the distal tip coil on the guide wire which is adapted to be coupled to the filter assembly. This arrangement allows the filter assembly to be rotatably mounted onto the guide wire.