First, as said, make sure there is no water pressure. Don't know what size/type your filter is, but sometimes there is a pressure relief button on top of the unit.
There is a special lube that is made specifically for water filter O-rings and threads (Dow-Corning, eg.). Might try some of that for next time. Sometimes the O-rings can enlarge and not fit the canister easily, especially if the sn*t got squeezed out of it, so it might be wise to have a spare on hand. O-rings and the lube are available on the internet and at wholesale plumbing places.
If you have water inside the canister, you should get the filter out and empty it if it freezes where you are.
Gil & Deb & Dougal the Springer Spaniel