Filter by custom taxonomy of custom post type

In 'Posts' it is possible to filter by category. I'd like to be able to filter by custom taxonomy in a custom post type created in CustomPress.

I believe this article gives me the info:

http://yoast.com/custom-post-type-snippets/

However, I don't know where to put that code as I am very limited in my php/plugin knowledge. Perhaps it isn't actually needed and I am missing something is CustomPress options?

Could someone possibly help me out and point me in the right direction?

Thanks!

Josh