Mostafa --
Perhaps this is the source of your problems. This is the response I received back from Telerik with the same problem.
From Telerik Tech Support ---------------------------------------
"Indeed in the described scenario excel-like filtering would not work. For the time being, you could try binding the ListBox inside the filter menu with Web Services. You could take a look at the blog post "Add Excel-like Multi-select Filtering to Your ASP.NET DataGrid" for more information about the suggested approach.
Another option would be to create the grid declaratively as it is done in the project I sent you. Please excuse us for the inconvenience caused.
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So we are back to this again. I cannot believe they even bothered releasing this. It is just marketing fluff.