Why on earth would there be a filter? Everything's digital now.
When they refer to 'digital' modulation, it really means then when the decoding decision is made, it comes out as a digital word. A commonly used digital modulation scheme is QAM - X (quadrature amplitude modulation, where X is some power of 2). An analog signal is encoded at some phase and amplitude. The quadrature portion of it means that you are sending two orthogonaly encoded sine waves simultaneously so that you have unambiguous phase at the receiver (basically allows for 360 degrees of phase instead of 180 degrees). The receiver then splits the signal into its amplitude and and phase components and makes a digital decision based on these values. There may be a small integration time on the receiver to improve detection performance. At the end of this time period, a decision is made.
Contrast the above to something like AM which is considered continuous (ie not digital) time modulation. The AM signal is always demodulating the signal and not at distinct time intervals like a QAM scheme.
Back to the comment about the filter. None of the schemes above are dependent on what the transmit frequency is; all you are doing is encoding the signal into some bandwidth. After the encoding is done, be it analog or digital encoding, it is still effectively an analog signal. This means we can use mixers and whatnot to shift the bandwidth of the encoded signal to whatever the transmit frequency is. In the case of the cable company, When he is referring to the filter, I am guessing that he is removing the bandstop filter that is blocking this signal to getting to your receiver. This filter is going to be an analog filter.
Here is some of the math for QAM in its gory details, and here is AM.