You need to setup at least one Email account and one Contact Method to be able to setup a filter.
I find the experience in setting up a breeze BUT the filtering set up is such a irritating pain. You have an instruction (see above) but i dont see anywhere on the page I can set up the filter. what does it mean by setup at least one email account. and one contact method??
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Sorry to confuse. If we're not (a) checking your email and (b) able to contact you in some other way, then the product can't really do anything. Those are the two things you need to do, and they refer to these two steps:
Then you can set up filters on step 3. Or you can set them up in Gmail.
Feel free to share a screenshot if this doesn't help!