easiest way to add filtering in a datagridview header

Design Page :
<asp:GridView
ID="gvCity" runat="server"
AutoGenerateColumns="False" Width="100%" AllowPaging="True"
ShowFooter="True" AllowSorting="True"
onpageindexchanging="gvCity_PageIndexChanging" onsorting="gvCity_Sorting"><Columns>
<asp:TemplateField>
<ItemTemplate>
<asp:ImageButton ID="btnEdit" runat="server" CausesValidation="False"
ImageUrl="~/Images/edit.png" onclick="btnEdit_Click" />
</ItemTemplate>
<FooterTemplate>
<asp:ImageButton ID="btnSave" runat="server" onclick="btnSave_Click"
Height="20px" ImageUrl="~/Images/saveicon.jpg" Width="20px" />
</FooterTemplate>
</asp:TemplateField>
<asp:TemplateField HeaderText="CityId" SortExpression="CityId"><ItemTemplate>
<asp:Label ID="lblCityId" runat="server" Text='<%# Eval("CityId") %>'></asp:Label>
</ItemTemplate>
<FooterTemplate>
<asp:TextBox ID="txtCityId" runat="server" Enabled="False"></asp:TextBox>
</FooterTemplate>
</asp:TemplateField>
<asp:TemplateField HeaderText="CityName" SortExpression="ECityName">
<ItemTemplate>
<asp:Label ID="lblECityName" runat="server"
Text='<%# Eval("ECityName") %>'></asp:Label>
</ItemTemplate>
<FooterTemplate>
<asp:TextBox ID="txtECityName" runat="server"></asp:TextBox>
</FooterTemplate>
</asp:TemplateField>
<asp:TemplateField HeaderText="CityName(Ar)" SortExpression="LCityName">
<ItemTemplate>
<asp:Label ID="lblLCityName" runat="server"
Text='<%# Eval("LCityName") %>'></asp:Label>
</ItemTemplate>
<FooterTemplate>
<asp:TextBox ID="txtLCityName" runat="server"></asp:TextBox>
</FooterTemplate>
</asp:TemplateField>
<asp:TemplateField HeaderText="StateName" SortExpression="EStateName">
<FooterTemplate>
<asp:DropDownList ID="ddlEStateName" runat="server">
</asp:DropDownList>
</FooterTemplate>
<ItemTemplate>
<asp:Label ID="lblStateName" runat="server" Text='<%# Eval("EStateName") %>'></asp:Label>
</ItemTemplate>
</asp:TemplateField>
<asp:TemplateField HeaderText="StateId" Visible="False">
<ItemTemplate>
<asp:Label ID="lblStateId" runat="server" Text='<%# Eval("StateId") %>'></asp:Label>
</ItemTemplate>
</asp:TemplateField>
</Columns><AlternatingRowStyle CssClass="gridAltRow" ></AlternatingRowStyle><HeaderStyle CssClass="gridheader" /><PagerStyle
CssClass="gridheader" /><RowStyle CssClass="gridrow" HorizontalAlign="Center" ></RowStyle></asp:GridView>
Code Behind :
protected void gvCity_Sorting(object sender, GridViewSortEventArgs e)
{
DataTable dt = (DataTable)Session["dtFilter"];
string sortdir = "DESC";
if (ViewState["SortDir"] != null)
{
sortdir = ViewState["SortDir"].ToString();
if (sortdir == "ASC")
{
e.SortDirection = SortDirection.Descending;
ViewState["SortDir"] = "DESC";
}
else
{
e.SortDirection = SortDirection.Ascending;
ViewState["SortDir"] = "ASC";
}
}
else
{
ViewState["SortDir"] = "DESC";
}
dt = (new DataView(dt, "", e.SortExpression + " " + ViewState["SortDir"].ToString(), DataViewRowState.CurrentRows)).ToTable();
gvCity.DataSource = dt;
gvCity.DataBind();
FillFooterDDlState();
}