Sand has to be rinsed otherwise it will make your water cloudy/dirty. It won't affect fish or the filter it just won't look that nice.
Sand can mess up a filter by sand particles getting into the filter so make sure you only turn on the filter once it has settled, and make sure the intake is a suitable distance from the sand bed (ESPECIALLY if you have fish that like to kick up sand).
Rinse sand by putting it into a bucket out in the yard and run a hose in it for awhile. Stir occasionally. It will be clean once it runs clear.
I've done this 3 times now with 20lb bags and have never had dirty water.
EDIT: also if you put it into the tank after rinsing and the water looks dirty... that's fine. Your filter plus a couple of waterchanges will clear this up.