That doesnt surprise me. I dont find that any auto parts stores around here carry motorcycle oil filters. A yamaha dealer or a motorcycle parts specialist should have one. And, of course, you can order them online.
Not to rub salt in the wound, but you need to make sure to get the Yamaha Service manual for your bike, so that you can review the entire oil change procedure. I believe the '06 WR450F is the same as the '05 WR250F that I own and there are about 3 different drain plugs that need to be removed to fully drain the oil from the crankcase and from the oil tank in the frame.
I have a service manual. I believe it is the original one that came with the bike. I also do oil changing based on the manual but havent read the oil checking section because i thought its obvious. I also found the air filter at O'Reilly for $12 :/ kinda pricy.