I found there is no "Component" in the fields when i was creating a filter.
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Hi Lilian,
If you're not seeing the components drop down on your instance you can try using the advanced search functionality:
http://confluence.atlassian.com/display/JIRA/Advanced+Searching
Basically it involves following these steps:

You can try putting 'Component =' in the query box, and JIRA should auto-complete any components that you have. :)
Cheers,
Matt
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There is no small info box below the Issue type box. It's the "Issue Attributes" division.
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Could you please explain a bit more? Assuming that you are using 'Issue Navigator' after selecting the project and issuetype, u need to click on the small info box which comes below the 'Issue Type' box to refresh the components, versions and custom fields specific to the project/issue type.
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