>        The last week some good friend of mine give me an "EMI filter".  He
>get it
>from Digikey.  Its internal connection is in "T":
>
>        In the both sides two bobbins.
>
>        in the middle a capacitor.

This sounds like one that I use a lot of, from Murata or Panasonic (I buy
them from Digi-Key)
They are used to take noise off of a power supply or signal line. You can't
use them on high speed signals, but anything up to say 100kHz should be
fine.  They are much superior to bypass caps.

The center lead is ground, and there is an internal capacitor to the signal
line. The ferrites on the outside look like a resistor to RF signals, but
allow large DC currents to flow without any voltage drop. With a good
ground, you will easily achieve 50dB or more noise supression. They offer
these in several frequency ranges, I usually pick the one with a sharp dip
at the processor's third harmonic.

For example, I'm in the habit of using one on my CPU, (which is always a
noisy part) Locate the filter at the CPU ground pin, and take VCC to one
side, and out the other side to the CPU VCC pin. Ground the center pin to
the uP GND.

I also use them on the output of switching power supplies, and in the motor
supply leads of stepper circuits.
They won't solve every problem, but they will solve a lot of them :)