Got the message, handbook said to replace filter, which I did, but still got the message. Any tips or advice to cure?

 

What message did you get? What kind of car, which engine? etc.

 

A new fuel filter isn't going to filter out water. Where would it put the water?

If you have water in your gas tank, you need to drain it, and then figure out how you got water in your gas tank! Definitely not normal.

 

Ian Mac obviously has a diesel XF, and they do develop "water in the fuel".
The diesel XF has a quite large fuel filter on the top left side of the motor and one thing it does is filter water out of the diesel (diesel has some water in it). Incorporated into the fuel filter / sitting underneath it is a water collection "bowl", which when it fills beyond a certain level is supposed to trigger the "water in fuel" warning message. Replacing the fuel filter in theory should solve the problem, but sometimes the sensor is dodgy, other times it takes a few engine on/off cycles before the message goes away.