Square filters are designed to be used with filter systems, slotting into a filter holder which attaches to the front of the camera lens. This system of holders, slots and square filters means that filters can be used in combination, and filters that need to be positioned vertically – notably graduated filters – can be moved up and down the slot for precise positioning.
Sometimes you will buy a filter kit that includes a filter holder and a selection of filters for different kinds of photography. Often, you will then supplement your filter system by buying any further filters as you need them.
Landscape photographers, for example, might combine ND filters for longer exposures with graduated filters for darkening bright skies, and perhaps a polarizing filter for subduing reflections.