Two-part filters -- What gives?

[Big G]

So in my local camera shop they have a couple of trays of miscellaneous items. You know what I mean -- tripod plates, body caps, cable releases, a brand new Kodak ready-load holder (the latter priced according to its usefulness). I found two rare (at least here) Canon 40mm filters for my Canon LTM 35/2.8. One is medium yellow, the other is orange. These filters come apart! The 'body' is what you would call a regular screw-in filter with colored glass, but there is also an extremely thin extra filter screwed onto it -- same color. Has anyone come across this? Do I use both, or just one (which)? I am now the owner of four filters for the princely sum of about USD1.50.