FIR Filter with Coefficient Reload

You could also use the DSP Builder Advanced blockset: http://www.altera.com/technology/dsp/advanced-blockset/dsp-advanced-blockset.html

This has it's own FIR blocks, and some simple demo designs to get you started. If you set the coefficients to be writeable, a memory-mapped interface is created, so you can connect this up in SOPC Builder.