Enclosure for whole house water filter
So if I understood you correctly then you want to dig in the ground, raise the water pipe to a filter, then back down into the ground?

I have to say that doesn't seem like a good idea to me. If I were doing this I would just cut a pipe in the basement and put the filter there. In particular I would cut just the pipe going to the kitchen, and not the whole house.

But if you really want too...

For the enclosure use double layer (4 inches) extruded foam sheets including on the ground! Then cover them in some exterior-grade plywood on the outside to protect from damage.

i.e. build a plywood box without beams/poles inside it (put them on the outside), then glue the foam sheets to the inside. Lay some plastic on the ground with small holes for the pipe, tape the plastic to the pipe, then foam sheets on top of that, and put the whole plywood box on top of it.

You'll probably need a 3rd hole for some sort of support to hold the filters.

I would suggest you wrap the pipe first in electrical heating tape (they sell it to protect pipes from freezing, it's what you want) then in waterproof (i.e. closed cell) foam rated for underground use several inches think and bury it.

Taxes is rather large - if you happen to live in a place that doesn't get very cold then this might not be necessary. I checked and record low in taxes was -23F, but that's probably not where you live.