As stated in the text, it is a heat exchanger (and thus, not a filtration device). The principle is simple, you breathe in through a fine wire mesh, and exhale through the same thus heating it. Next breath is thus pre-heated. Works very well down to -25C or even lower if the standard mesh is replaced by a more massive type of grid.
The disadvantage is of course one looks a bit weird, but as a photographer you get lots of weird glances already. The mask I'm using now is small so doesn't impose too much on normal activities. The main drawback, inherent with all kind of heat-exchangers in very cold weather, is condensation that can turn to ice when it seeps off. A small price to pay as I survive the cold !!
The name of my mask is 'Airtrim Asthma Breathing Mask'. It is quite cheap too.