One of my friend said, I should put an UV filter always on my lense to protect it. Is it true? How it will help me to protect the lense? Is it advisable to use UV always on the lense?
Not always, but you should consider the best if you want to use. To great extent it protects the lens at the front element by accidentally touching and from dust. I never use any UV filter on my 150 Sigma macro lens, Canon 100-400 and Sigma 15-30. However, Sigma 18-200, Tamron 28-75, Canon 85/1.8, Canon 70-200 f2.8 L IS USM always carry Tiffen/Hoya pro quality UV filter. The reason why you should consider the highest quality of UV is that, there will be considerable quality degradation with some lenses if you use poor quality filters. I have observed even the best UV on 100-400 has greatly reduced the image quality. For a general purpose landscape photography, you may not notice the variation of the quality. But, for close up photography, it will be visible clearly.
Next is ND and CPL. I gone through wikipedia and got the idea. But in practical life how much we need them? It will be great help, if anyone please give me a brief details on these 2 filters.
ND filters are used to reduce the intensity of light reaching the lens and hence the sensor. There are many parameters which may not matter much to everybody but to me it is like getting my own setting while shooting. Ex: Suppose the lighting condition is very harsh. Even at ISO 100, if I get a shutter speed of 1/400, the aperture may get set at f16. Suppose I want the set the aperture at f11 because of some reason, I don't have any other parameter other than increasing the shutter speed. So, I cannot shoot at SS 1/400 and f11 in this harsh lighting condition. In such situations, ND filters are useful. ND2, ND4, ND8 will reduce the light by 1 stop, 2 stop, 3 stop respectively. One more usage of ND filter is to get a slower shutter speed for water flow shots etc... CPL also works as ND filter in some situation. But the main usage of CPL is to remove the reflection from the objects. It also deepens the color and the colors will be well saturated. Usage of CPL (correct polarization) depends on the subject and if used properly, you can get some impressive results. Using CPL on Ultra wide angle lens is not preferable in a sunny clear sky as it will make the sky look un even.
If I want to buy all 3, which make should I pick up and from where? I will be needing 58mm filters.
Tirtha, I feel I have clarified your doubts. It depends on your usage and the kind of photography you do. You can go for Hoya/Tiffen/Lee or Kenko makes. But these are very costly for even 58mm.