增加过滤按钮的代码来自CodeProject网站，以下为实现步骤：

1.在工程中加入 DataGridViewAutoFilterColumnHeaderCell.vb 和 DataGridViewAutoFilterTextBoxColumn.vb

2.DataGridView中的数据要采用BindingSource的方式来绑定：

1.  
   Dim dataSource As New BindingSource(table, Nothing) '此种方式可以在栏头过滤
2.  
   Main.DataViewLib.DataSource = dataSource

同时再加入以下代码：

1.  
   ' Add the AutoFilter header cell to each column.
2.  
   For Each col As DataGridViewColumn In Main.DataViewLib.Columns
3.  
   col.HeaderCell = New DataGridViewAutoFilterColumnHeaderCell
4.  
   Next

以下步骤即可实现增加过滤按钮。为实现过滤的栏头有不一样的颜色还需做以下修改：

1.属性EnableHeadersVisualStyles需设为False

 DataGridView.EnableHeadersVisualStyles = False

2.在DataGridView的DataBindingComplete事件中增加以下代码

1.  
   '过滤时控制栏头颜色
2.  
   Private Sub DataViewLib_DataBindingComplete(sender As System.Object, e As System.Windows.Forms.DataGridViewBindingCompleteEventArgs) Handles DataViewLib.DataBindingComplete
3.  
   'Dim filterStatus As String = DataGridViewAutoFilterColumnHeaderCell.GetFilterStatus(DataViewLib) '获得过滤数量状态
4.  
   Dim data As BindingSource = DataViewLib.DataSource
5.  
   If Not data.Filter Is Nothing Then '若有过滤
6.  
   For i As Integer = 0 To DataViewLib.Columns.Count - 1 '给所有栏头设置初始颜色
7.  
   DataViewLib.Columns(i).HeaderCell.Style.BackColor = System.Drawing.SystemColors.Control
8.  
   Next
9.  
    
10.  
    Dim tempFilter As String = data.Filter
11.  
    Dim tempColumName As String = ""
12.  
    For i As Integer = 0 To data.Filter.Length - 1
13.  
    If tempFilter.IndexOf("]") >= 0 Then
14.  
    tempColumName = tempFilter.Substring(tempFilter.IndexOf("[") + 1, tempFilter.IndexOf("]") - tempFilter.IndexOf("[") - 1)
15.  
    tempFilter = tempFilter.Remove(0, tempFilter.IndexOf("]") + 1) '如果未找到“]”此行则会出错退出此函数
16.  
    DataViewLib.Columns(tempColumName).HeaderCell.Style.BackColor = Color.Yellow
17.  
    Else
18.  
    Exit For '提前退也循环
19.  
    End If
20.  
    Next
21.  
    End If
22.  
    DataViewLib.ClearSelection() '防止默认选择
23.  
    End Sub

效果如图: