I wouldn't even bother changing the transmission filter, unless it was a spin-on type (some Subarus and Saturns have a transmission filter that spins on like a regular oil filter)
In that case, Wix or Purolator will be fine.
Otherwise, don't change it. Most of the filters inside the transmission pan don't need to be changed anyway. Toyota actually says specifically *not* to change it.
If you absolutely MUST change it, then only go OEM, Beck/Arnley, Denso, Wix/Napa, maybe ATP. Unfortunately, most transmission filters you'll find at parts stores that aren't Napa are Chinese junk like Pro-King. Using those low-quality Chinese filters is worse than not replacing it at all.
Just change the transmission fluid regularly and you will be fine.
If your transmission doesn't have a drain plug, then get an aftermarket pan that does have one. They are widely available. What kind of car do you have?