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DataGrid Filtering options

I want to apply filtering options to my grid. Can I get a step by step tutorial of what exactly do I need to do? Any other data related to fliltering etc would be appreciated as well.

Thanks in advance,

Dolly

You can find information about filtering in grid here 
http://dhtmlx.com/docs/products/dhtmlxGrid/doc/guide.html#grid_filter
http://dhtmlx.com/docs/products/dhtmlxGrid/doc/guide.html#grid_filtermulti
http://dhtmlx.com/docs/products/dhtmlxGrid/doc/guide.html#grid_filtershdr
http://dhtmlx.com/docs/products/dhtmlxGrid/doc/articles/Data_filtering_search.html#grid_fsing

To use filtering functionality you shold include dhtmlxgrid_filter.js file to your page