A common mixing problem is having elements which sound great in isolation but when combined fight with each other for space in the mix. Multiple guitars, synths or even vocals can often result in a confused rather then thick sound. The aim of filtering is to retain the essence of the original sound but do away with any unnecessary lower resonances as these only serve to fill up the space (or headroom) available to other elements of the mix.
The most commonly used type of filtering is hi-pass or low-cut which removes all the sound below a certain frequency. Your filter should be the first process in your mixing chain, before compression or effects like reverb. Solo the item you want to filter and sweep the filter up until you hear it eating into the core of the sound. At this point you've gone too far, we want to retain some body to the sound so sweep the filter back down a bit. With something like a hi-hat the cut frequency is probably going to be something like 250 - 350 Hz; anything below this isn't integral to the hi-hat sound and will probably be inaudible in the mix, however these lower resonances will be using up space that could be used by other elements such as the bass. With filtering in place each element of the mix should sound more focussed giving a clearer and more focussed overall sound.