I have a Sony Nex-5 with the E 18-55mm F3.5-5.6 OSS. I want to know if I can buy these macro filters.What I should be looking out for?
Indeed as @dpollitt said, the lens you have has a 49mm filter-thread. If you look across the entire NEX lens lineup, it is the most common thread size with only the 18-200mm using a 67mm thread.
You could go with a 49mm filter or a larger size such as 67mm or 77mm with adapters. Personally, I choose the adapter route because then I only need to buy one set of filter and good filters are expensive. If you buy a 49mm, then the first bigger lens will make you wish for bigger filters.
The filters you are looking are closeup filters which are designed to make your lens focus closer than its minimum focus distance (25cm for the 18-55mm). This is important for macro photography. Given the extremely low price of that set, it will probably significantly reduce the quality of your images. There are lots of other types of filters (Polarizer, ND, Graduated ND, UV, etc) and if you search this site you will find plenty of descriptions of what they are used for.
There seems to be some confusion between closeup lenses and filters. What you linked to is a set of closeup lenses. They do mount on the front of your lens like a filter, but are not filters. The purpose of a closeup lens is to let the camera focus on something closer than the bare lens would by itself. This is the same principal as you looking thru a magnifying glass. With the magnifier right up to your eye, it doesn't actually magnify but rather lets you see something closer than usual, allowing you to see more fine detail. A jewler's loupe is a extreme example of a closeup lens for your eye. Closeup lenses are rated in diopters, with higher numbers having a larger effect. One drawback of closeup lenses is that they are single-element lenses, and as such usually add some chromic abboration.
Another way of acheiving a similar effect is with extension tubes or bellows instead of closeup lenses. These physically move the lens out from the camera, and have their own set of advantages and disadvantages.
Both close up lenses and extension tubes are for macro photography. Then there are also lenses specifically made for macro photography. These tend to have extra high F-stops so you can get better depth of field, which vanishes quickly with magnification. Ordinarly lenses might end at f/22 or maybe f/32, but macro lenses often go to f/64 or so. You'll have to experiment yourself with the different ways to take macros to find what you like, how serious you are, and therefore how much you're willing to spend. The subject matters too. The best setup for taking pictures of small jewelry, for example, will be different than that for taking pictures of bugs on flowers.
As for what a lens filter is for, that is best described by looking at the variety of filters available. There are polarizers, neutral density, UV-blocking, etc. That's a whole subject itself, so it's probably not appropriate to get into without a more specific question.
According to the Sony website(here) and the dpreview review (here) the standard Sony NEX-5X/S 18-55mm lens accepts 49mm filters. You could technically get the 58mm filters that you linked to, but you would need to get a step down ring to fit 49mm from 58mm. I would suggest getting a 49mm set which you should have no issues finding on Amazon as well.