How can i use an argument in the filter?

It is. You could use arg(0), arg(1), etc. Or you can parse the url yourself using the global $_SERVER['REQUEST_URI'] variable.

Perhaps I should put it in an example to better show how arg is used.

$url_arg0 = arg(0);
$url_arg1 = arg(1);
$url_arg2 = arg(2);
$url_arg3 = arg(3);
//Now figure out which one of these is the argument u want to use and slap it in the query.  My guess is you'll probably want arg(2) or arg(1)

db_query("SELECT nid FROM d6_content_field_example WHERE field_example_value = '%s' ", $url_arg2); 

You will need to play with it to figure out which arg contains your value. Replace the number until you find it. If you get to 6 or 7, then arg() probably wont work for you. Something you absolutely NEED to be aware of is the use of %s rather than $url_arg2. This is to prevent SQL injections because $url_arg2 is a piece of the URL that could potentially contain nasty chars like ' or whatever. Using the %s stuff lets drupal's DB Abstraction layer clean out the bad crap.

I post a solution here that worked for me here

http://drupal.org/node/873658#comment-3813806

Duplicate of #873658: cannot pass URL arguments to filter -- as the prior poster pointed out. Clarification there.

The arg() function has *never* been available within Views -- has nothing to do with this filter.