You labelled correctly.
You could install a non-return valve and it would be placed below the crossover pipe on the Spa return.
Because of the pipes either side of it you may need to cut not only that pipe, but the Pool return too.
That way you could flex the pipes up enough to fit the valve.
You would then just use a union to rejoin the pool return.
What sort of filter is it? A cartridge. Doesn't look like a DE or sand filter as there is no backwash valve.
That being the case you will want to clean it since you don't know when it was last done.
To do this you turn off pump.
Release pressure in filter usually by a relief valve @ the vacuum pressure gauge on top of filter.
Remove the white filter drain plug and let it run out.
Next you remove the waist band around filter.
The top half should now lift off.
Inside will be probably one big pleated filter cartridge, or sometimes multiple thin ones.
There will be couple of nuts to remove the top manifold then they will lift right out.
Hose out the filter housing.
Depending on the state of the cartridge(s) you can at least hose them off thoroughly.
Inspect them for damage/holes.
To properly clean cartridge of all the suntan oils etc that collects on them use either one cup trisodium phosphate (TSP) to five gallons water; or (3) one cup dishwasher detergent to five gallons of water to soak the cartridge in overnight.
Rinse well.
If there is a buildup of calcium, iron or algae a bath in 1:20 diluted Muriatic Acid may be required.
For both of these you need a plastic garbage can big enough to at least half submerge the cartridge.
Soak overnight inverting half way thru to get entire filter.
Hose off and reassemble.
Run the pump and once it is re-primed and running record the pressure.
This is the 'clean' pressure of your system.
Follow this instruction to decide when to clean filter next...
http://www.troublefreepool.com/content/140-routine-pump-filter-maintenance