See the follwing code for FlyGrid initialization to support filters:
[VB]
  Private Function GetData() As DataTable
    Dim dataTable As DataTable = New DataTable("Data")
    Dim col As Column
    For Each col In Me.FlyGrid.Columns.Items
      Dim dc As DataColumn = New DataColumn(col.FieldName)
      dataTable.Columns.Add(dc)
    Next
    Dim i As Integer
    For i = 0 To 2000
      Dim data As Object() = New Object(Me.FlyGrid.Columns.Items.Count - 1) {}
      data(0) = "Column1 " & i.ToString
      data(1) = "Column2 " & (i + 1).ToString
      dataTable.Rows.Add(data)
      Me.txtStatus.Text = "Loading rows " & i.ToString & " of 2000,please wait..."
      Me.txtStatus.Refresh()
    Next
    Return dataTable
  End Function
  Private Sub btnAddRow_Click(ByVal sender As System.Object, ByVal e As System.EventArgs) Handles btnAddRow.Click
    Me.FlyGrid.Rows.DataSource = GetData()
    Me.txtStatus.Text = ""
  End Sub