The filters in PSoC3 and 5 are digital filters, not analog. So you'll have to exchange the places of the ADC and the Filter, feeding the analog signal out of the PGA into the ADC and transferring it into the filter and then to memory or whatever you'd like to.
The last two transfers are often made with DMA, so there is no load on the CPU for that. When starting a new project in creator 2.2 there is a filter-example that covers most of the techniques needed, Modify that for your needs.
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There is a whole class of analog active filters that PSOC can implement
using its OpAmps, state variable, simple ladder, sallen-key, biquad.......
Here is a good tool to get RC values for this purpose -
Also PSOC has some simple RC filters onboard, see this thread -