That functionality is not currently available, but it's on the list for future releases. Initially, the web console (which is slated for the next major release) will allow each LEM Console user to access his own filters from any computer. The web console also opens up the possibility of sharing filters across users and computers more flexibly, but the full functionality will not be in the initial release.
Regarding the My Filters heading on the Filters pane: This is a group into which you can move or create custom filters. By default, the LEM Console saves new filters immediately under the last one you selected. To save a new filter into that group, click the group heading or a filter that's already in that group first, and then click Add > New Filter. To move a filter, simply drag and drop its label in the Filters pane.
Let me know if you have any other questions.
In addition to what Phil said, if you do want to copy ALL filters from one account to another, you can access the files directly on disk and copy them around - may save you the time of exporting a long list. The filters are saved per-computer user (not per-LEM user) in a "sim.console" directory located in either Documents and Settings's Local Settings (2003/XP) or Users's AppData (Vista/7/2008). All other settings, including nDepth saved searches, column sizes and order, and your Ops Center widget configurations are also saved there. You want to be a little careful about what files you copy around (Ops Center widgets, for example, rely on filters in a very specific way), and I'd recommend making a backup before touching any files.
To import/export a small set of filters, or even a filter group, using the Console is your best bet.
And, as Phil mentioned, a part of our What We're Working On in the Land of Log & Event Manager is the web-based Console, which will store data based on LEM user (not computer user) on the LEM appliance, and let you access filters from anywhere that user is logged in. Extended functionality around sharing filters from user to user is something we're interested in, so we'll be sure to add your vote to that item.
Thanks for your feedback!