The changing of the oil filter probably will not solve your problem.
In fact oil filters are equiped with a bypass valve to insure that there is no interruption in oil flow even if an amazingly careless owner lets its oil filter clogg up to a point where it would otherwise stop letting oil flow through.
Oil pressure warnings coming out normally have one of the following reasons:
By order of probability:
1- Oil level bellow the engine oil intake (if this turns out to be the case extensive damage to the engine is likely to have allready ocurred);
2- Faulty pressostate (stuck in open position or internally shorted)
3- Faulty oil pump
4- Clogged oil filter AND stuck oil filter bypass valve.