As per above, it looks like the ND filter is selected under MENU > CAMERA SETTINGS. It's the 18th item on the list so page 5 seems about right.
The purpose of the ND filter is to give you greater control of the camera's exposure settings, particularly in bright lighting conditions. The usual example given is this: supposing you want to shoot in bright sunlight with the aperture wide open for a shallow depth of field. That requires a very fast shutter speed, possibly faster than the camera offers. The solution is to employ the built-in neutral density filter, which I'm guessing gives you three stops of light reduction. Now you can open the aperture to where you want it without the shutter speed going off the end of the scale.
-R