Presumably your owners manual will give you some information if you read it, as a simple google does the same

"What does it mean when it says exhaust filter full?
This message is normal. The diesel particulate filter is full of particles (exhaust soot) and you are not operating the vehicle in a manner that allows normal cleaning. One of these messages stays on until the exhaust filter cleaning has begun, at which time the CLEANING EXHAUST FILTER message displays."

I'm assuming your vehicle is a diesel and this is yet another of the downsides of a diesel, with too much emissions control bullshit that is unreliable....and if you only do short journey's this makes it all even more unreliable

Such problems may lead to an actual breakdown, so you're in a no win situation. If incredibly lucky and you give it a good long drive it might do a re-gen and clear itself....but if there's a warning up, it's probably already beyond that and may need a force re-gen, or a new DPF

But read the owners manual specific to your car.