The demo shows the new Grid FilterType called HeaderContext implemented in Q3 2015.
This filtering mode provides look and feel that resembles the filter in Excel. To enable this mode you should set the FilterType property of RadGrid to HeaderContext
and turn on the header context menu (EnableHeaderContextFilterMenu="true"). Note that for using this feature you should also have the EnableHeaderContextMenu property of the RadGrid control set to "true"
As you can see ListBox populated through DataSource displays the values. You can use the RadGrid1_FilterCheckListItemsRequested event so that the ListBox control rendered in the filter template will be automatically populated.
Also TextBox is available above it that can be used to filter the items displayed
in the ListBox.