CAI =/= K&N filter
To elaborate, any time an engine is intake air restricted, adding a filter with more surface area and the same rate of flow per unit of surface area, increasing the rate of flow at a given surface area, or decreasing the temperature of the air will improve performance (basically, the net effect of being able to intake more molecules of air, all three of these things are doing that).
The middle effect would suggest a worsening of the filtering capability, but the first and last are doable at no risk. The engine may need a different tune to take advantage of the benefit though.
There ya go. Once upon a time it was common and cheap extra performance to get a good CAI, now most cars are so precisely tuned from the factory that you will actually lose performance if you go to one without a matching custom tune. The Focus duratec is like that. With a good FSWerks tune + CAI, you can gain 7-10hp at the wheels (!) due to the extremely restrictive stock intake system + baffles. It's amazing to look at a stock intake system sometime and see just how convoluted and poorly flowing they can be. However, at lower RPMs (epa testing basically), even the poor flow of the stock intake setup is not much of an issue. The gains all come at the midrange to high rpm.
CAI is not something I recommend doing by itself.
CAI + tune + plugs/wires + throttle body spacer (if applicable) + exhaust. If you do that right, you'll gain a fair amount of throttle response, and a legit but not huge amount of power. Find out if your motor/tranny combo is known to handle the turbos well, and that's another road you can take down the line should you feel like it.
And by 'tune' I don't mean some ebay $20 ripoff, but a legit dyno-tested tune that's well reviewed and proven effective by numerous sources from within the community your car is in.
For you, start at
http://forums.evolutionm.net/
Keep in mind that even with lots of money spent, you've got a long way to go before the car will actually be dramatically faster. Also, unless you keep all your stock parts and ebay/forum sell off your mod parts after you're done with the car, that you'll never get any of that money back. Nobody sane wants to buy a modded car, so put back to stock before you sell it.
And the closer : want a faster car? Buy a faster car in the first place
I modded my 08 Focus 5spd a bit, and it was shockingly effective for the price, I could surprise a ton of people in that thing, but at the end of the day it was still a 4 banger non-turbo Focus. And that was fine with me. Make sure your expectations don't get unrealistic, and please don't be "that guy" with the fart pipe, car scraping on the ground from cut springs, 10" spoiler in the air, 20" wheels, etc.