Fit it directly at the power input terminals of the VFD (R & S). Ideally bouth the VFD and filter should be attached to a metalllic surface with electrical contact between their mountings and the plate. There MUST be an earth connection to the metal body of the filter for safety.
I notice domestic washings have an input filters, would they be of use in similar situations, thousand must be discarded daily at the so called local RECYCLE CENTRE. John