RadGridView for WinForms does have a filtering dialog which allows you to filter by two conditions by using the OR or AND operators. However, this dialog can be started by clicking the icon in the filtering row and selecting the "Custom" menu item. You can enable the filter row by setting the EnableFiltering property of RadGridView to true.
Of course, it is possible to add new menu item in the header cell context menu and start the filter dialog from it. Please refer to the attached project, where you can observe such an example.
I hope you find this information useful.
All the best,
the Telerik team
Q1’11 SP1 of RadControls for WinForms is available for download; also available is the Q2'11 Roadmap for Telerik Windows Forms controls.