Hi Anastasiya,
The Header context menu filter option is part of the Excel-like filtering feature of the Grid, you can test is in live and examine its source code here:
https://demos.telerik.com/aspnet-ajax/grid/examples/functionality/filtering/excel-like-filtering/defaultcs.aspx
For convenience, I have recorded a video demonstrating how to navigate to the header context menu:
https://www.screencast.com/t/xvjGxFaCzTP
The settings you need to configure in order to enable the header context menu are:
Regards,
Vessy
Progress Telerik