If you look at the ring around the filter from the front, you will probably see a number followed by "x" (for "times" as in multiplication). For example, my red filter has "5x" on the front. This indicates that the exposure when using the filter needs to be five times longer than without it, assuming the aperture and film speed are the same. This is called the "filter factor". The filter factor for a red filter will probably be in the region of 4x to 8x, depending on how dark a shade of red it is.
If you are using a camera with through the lens (TTL) metering - which includes most (although not all) SLRs that have meters - then the exposure meter will see the reduced amount of light coming through the filter and will base the exposure on that. So although the exposure will still be increased by the filter factor (for example, 5 times as long with my red filter), you do not have to change any settings on the camera to achieve this. Just meter and shoot normally, taking into account that with the longer exposure you may require a tripod.
If you are using an external light meter, or a camera that uses non-TTL metering, then you need to adjust the exposure to take account of the filter factor. Many external light meters have a scale for precisely this purpose - e.g. with my Gossen Luna Pro, I simply set the filter factor scale to 5 when using my red filter and meter normally. If it did not have a filter factor scale, I would calculate the exposure without taking the filter into account, and then multiply by the filter factor (5 for my red filter).