Searching / filtering datagridview in c#

If a comboBox in columnHeader will solve your problem you must inherit a class from DataGridViewColumn and a class inherit from for example DataGridViewTextBoxCell and set cellTemplate of datagridview to second class in DataGridViewColumn Constructor.
After that you must add your desired control into your custom column.You can build that by usercontrol or if you want you can use a comboBox or something like that.
The all inherited classes have paint method that you can override and use the cellbounds to get proper location for your control.

DataGridView Filter Popup[^] is a good filter implementation for you to look at.
This[^] is a good article on implementing a filter as well.
Datagridview with filtering capability[^] is another nice article.
You can user DataViewRowState to filter data. Use DataViewRowState to filter DataGridView[^] explains this approach.

If you are looking for implementing a search, go through http://www.sourcehints.com/articles/how-to-search-for-a-value-in-datagridview.html[^].