[Mark C]

Transmissions shouldn't need a filter changed until at least 100000 miles unless it sees some extreme service (like a taxi cab). When you say you checked the "oil" you did check the transmission fluid level (under the air intake tube between the engine and the air filter box) and you did it with the car running in park, right? What color was the fluid red, redish brown, dark brown with flecks of silver in it (let it drip off the stick onto a peice of white cardboard)?