We present a description of a new 1--5 $mu$m filter set similar to the long-used JHKLM filter set derived from that of Johnson. The new Mauna Kea Observatories Near-Infrared (MKO-NIR) filter set is designed to reduce background noise, improve photometric transformations from observatory to observatory, provide greater accuracy in extrapolating to zero air mass, and reduce the color dependence in the extinction coefficient in photometric reductions. We have also taken into account the requirements of adaptive optics in setting the flatness specification of the filters. A complete technical description is presented to facilitate the production of similar filters in the future.