A Diesel Particulate Filter is part of the Emissions system, and located in the exhaust. Its purpose is to remove particulate matter (soot) from exhaust gasses by passing the gasses through a filter. Once a DPF has reached capacity, like all blocked filters, it will need to be changed.
Typically a DPF will fail due to a lack of DPF regeneration activity (short trips with no highway driving), poor quality Diesel or faulty operation of Turbo and EGR System. Correct fault diagnosis will assist identify the problem and avoid unnecessary DPF replacement.