Very few people in this forum filter their beer. The equipment is fairly expensive. And yes you can brew these types of beers with extracts. One of the major reasons for filtering is to remove yeast, and with wheat beers the yeast is a big part of the overall character of the beer. Do you know what type of beer it was?
I have posted a link to the wheat section of the recipe section of this forum. I can't comment on a specific brew, because I haven't brewed any. But I would highly recommend you look at any recipes from Edwort, Biermuncher, Yuri, or Homebrewer_99 just to name a few. These guys all brew beers that have received postive reviews on this forum.