To check the frequency response you could connect the signal generator to channel A and the input of the filter.
Then connect channel B to the to the output of the filter.
You can then look at the signals in spectrum mode and this will show what frequencies exist in the signal.http://www.picoscope.tv/general/spectrum-mode.html
Please note spectrum mode does not measure phase,
you can measure phase using the phase markers or using a maths channel in scope mode (http://www.picotech.com/support/topic13773.html?hilit=phase