Thank you all.
There is round side on the filter, which make the filter in the shape of bullet. the filter from autozone does not have a flow arrow on the side, so I just installed the filter by the guess of its shape.
Today, I followed all your advise, reinstal the filter, and find that there is a "in" sign on the round side. The restallation forced me to go autozone again to buy two clips.
By the way, just read user manual today, and Ford marked that the non-motorcraft fuel filter will void warranty, but no such marks on oil filter, or many others. Though I do not have warranty, I am still curious if there is much diffirence of fuel filter quality.