With the next Telerik.Web.UI service pack you will be able to specify your own template for filtering in grid template columns:
and using the grid powerful client-side API you can tell the grid to filter specified data source according to selected conditions:
The result: Easy and powerful filtering customization in less than a minute!
I've used EntityDataSource for my demo connected to Northwind Customers table (and distinct Country from Customers for the combo) and all operations are applied directly to the data-base server without need to write any code:
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