We propose and demonstrate a novel optical frequency comb (OFC) based microwave photonic filter which is able to realize arbitrary filtering shape with linear phase response. The shape of filter response is software programmable using finite impulse response (FIR) filter design method. By shaping the OFC spectrum using a programmable waveshaper, we can realize designed amplitude of FIR taps. Positive and negative sign of FIR taps are achieved by balanced photo-detection. The double sideband (DSB) modulation and symmetric distribution of filter taps are used to maintain the linear phase condition. In the experiment, we realize a fully programmable filter in the range from DC to 13.88 GHz. Four basic types of filters (lowpass, highpass, bandpass and bandstop) with different bandwidths, cut-off frequencies and central frequencies are generated. Also a triple-passband filter is realized in our experiment. To the best of our knowledge, it is the first demonstration of a programmable multiple passband MPF with linear phase response. The experiment shows good agreement with the theoretical result.