A friend of mine told me that the door in the arm of the air filter housing is suppose to open when the engine reaches a certain temperature. Is this true and If so, mine is not opening.

Yes, the flap is supposed to open and allow cooler air to flow. Make sure the stove pipe is attached to it from underneath. If not, it won't heat up sufficiently to move. If everything is intact, and it still doesn't open after engine is fully warmed up, you might need a new mechanism. They are sold with screws, so you'll have to drill out the factory rivets. Make sure it's not binding before you rush out and buy a new one.