Rod,
Take a look at this link:
http://www.coastaltool.com/cgi-bin/SoftCart.exe/a/fein/turbo-ii-accessories.htm?L+coastest+qvyh8781ff233c23+1196868504
You need the first item on the list, the actual HEPA filter (which includes the filter flange and screw). And, you need to use the paper dust bags. That will also make dealing with emptying your vac so much nicer. There are third-party HEPA filters that are half the price and fit the Fein, but I decided to go with Fein's, believing a systems solution is better.
Also, as a general FYI, there are two components to consider when talking about filtering - particle size and the efficiency of capture. HEPA specifies that at least 99.97% of particles 0.3 microns and greater will be filtered.
This is in contrast to filters generically specified, say, as 1 micron, or 5 microns. What is the efficiency? Will they capture 99.99% of particles that size and greater? Or 75%, or ? Without a spec, how do you know?