Did you check to make sure the MAF sensor was installed correctly and the harness is mounted right when you have the cone filter on??
Chances are if you bought a cheapo filter that it's not filtering right. Sounds like a vacuum leak too, who knows at this point.
What brand is the filter? did it come with other hardware or just the filter?
Try to take pics of the installation, and post up the exact steps you took to install.
Also, this thread would do more justice in the Tech section, ask Mark or Tony to move it for you
