January 3rd, 2012 
Curtis Rutledge How to: Group, Sort, and Filter Data in the DataGrid Control
http://msdn.microsoft.com/en-us/library/dd833072(v=vs.95).aspx
I couldn’t set a filter function in my case but I could use a customfilter which worked pretty good.
For some reason this link is the 3rd or 4th page or worse when searching on google.
It should be higher up then most of the useless posts out there in blog land.
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