My filter gauge is reading 3 and I just installed it onto a new filter? Why is that?

The actual number doesn't really matter. It will be higher when you have more gates open, more airflow through the system and thus more back-pressure on the filter

What we really care about is the change in the number. So, take a baseline reading (or set of readings) and monitor them. When the filter gets dirty the pressure and gauge reading will go up. When the reading changes say 1-2" on the gauge that's a good indicator of when you'd want to clean. None of this is exact science but rather an indication of pressure buildup in the filter.

Also, cleaning it more often (when the buildup is lower) will normally be easier and quicker than waiting for the filter to be dirtier.