ConKbot is right, it's typically a passive low pass filter. More details, along with a fairly typical schematic, are here: http://www.numericana.com/answer/filter.htm#dsl
The filter presents a very high impedance at the frequencies above the voice band. Without a filter, those frequencies would go into the telephones and other gadgets on the phone lines, and some of these devices (and perhaps even the the wiring itself) might present a somewhat low impedance path at those high frequencies. The low impedance would absorb some of the ADSL signals. Furthermore, some of the ADSL frequencies are within the range of human hearing, and can present an annoying whine to the ears of the telephone user if they reach the phone.
The filter keeps those high frequencies away from the voice devices, which is a good thing both for the voice devices and for the ADSL equipment.
When an ADSL filter has two ports, one for data and one for voice, the "data" port is normally just the unfiltered phone line, straight through. The ADSL modem has a high pass filter built in to it, so there's no need for an external filter between the phone office equipment and the ADSL modem.