Does somebody know about a tool to design filters for DSPIC?
Microchip sells such software: http://www.microchipdirect.com/productsearch.aspx?Keywords=SW300001

Alternatively if you don't want to pay, you can use any FIR or IIR filter design software you want to come up with your coefficients, implementing the filter on the dsPIC is really easy with microchip's DSP library which is included in the C30 compiler, which I assume your using.