The pollen filter will stop pollen and other particulates entering the cabin. If you've ever seen the state of one after the recommended 3 year service interval for this filter, then you'll see why they need changing !

I guess you might be able to leave it an extra year or so (depending on your mileage) but I would imagine that you'll be at risk from smells in the cabin and an overall degredation in air quality.

The biggest problem with changing it yourself is getting the cover off without breaking the clips but the worst-case scenario is only another £30 or so for a new cover. It needs to be sealed back to the base of the windscreen properly with a new butyl strip, or you'll get water into the cabin.

I think the last paragraph above only applies to the MK1 Focus. On the MK2, the pollen filter is behind the dash, accessible from the passenger footwell.

The OP has got an 02 Focus, which will be a mk1.5 (mk1 facelift), so I didn't think to specify mk1/1.5 only. Definitely worth pointing out though, in case any mk2 owners read this in the future.