The filter in conjunction with the feedback makes a transfer function that has the form
Y=G(s)H(s)/{1+G(s)H(s)}
where we are forming a control system with a plant H and a "filter" or "loop filter" G. The expression is the Laplace transform of the (usually) differential equations that describe the output of the loop that is attempting to generate an output that when subtracted to the input to the loop produces an error signal that the loop attempts to force to zero for a class of input characteristics (like a step, ramp, parabola) relationship. For example if we are talking a phaselock loop the input would be the phase error of a received signal to the desired constellation point in PSK digital communications.
G might be as simple as a gain factor constant, or it may have a differential equation associated with it. We want to choose an H to produce a desired response (Y) to a class of inputs we need to design the loop to "track"
You need to understand feedback control systems and do a little work and search on the web or god forbid look in a textbook. It took me about 15 seconds to find this link:
that explains the basics for a single-input, single-output linear loop that allows simple analysis.
The math is Laplace transforms, linear differential equations, and some calculus to invert Y(s) in my example when excited by a step, a ramp, or a parabola (U(s), 1/s, 1/s^2) using the product of excitiation and transfer function Y and then typically breaking the new TF into partial fractions and using inversion rules (table of transforms) or maybe Bode, or root-locus approaches to understand how to select the loop filter G to make the control loop track changes in the parameter to be controlled by motion, oscillator errors (in the case of PLLS) in a desired fashion (like settle to an error of so many % in a specified number of seconds, or symbols (in a comm. system)
It seems like people don't even bother using Google or technical search engines (like citeseer) using "tutorial" or "introduction" to get a basic understanding of the topics in this newsgroup.
Sundin--get a controls ebook off the internet or go buy or borrow one and look at simple examples and understand them-- then you can ask guys who do this sort of thing as part of our job regularly (like me) more specific questions that will help your understanding.