In order to set focus to the filtering TextBox after postback you could use an approach similar to the one illustrated in this code library
. Make sure to get the version that target the AJAX controls.
Note that in the code library the focus is set for the TextBox in the next column. You would need to modify that code so it fits your requirements. The ItemCommand event of RadGrid could be handled in order to save the name of the currently filtered column. After this in the PreRender event handler the TextBox control for that column is focused.
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