UPDATED:
Starting with version 14.2, GridView provides the built-in Search / Find Panel functionality with the capability to locate it outside grid boundaries. This allows accomplishing a similar task with less effort and does not require so much extra code. See the ASP.NET Data Grid: Enhancements post to learn more about this new functionality.
The DevExpress ASP.NET controls collection provides a valuable control that allows creating filter expressions - ASPxFilterControl. This control is irreplaceable for advanced users who require to have a tool with rich functionality.
However, this control may be hard to understand for beginners, and they may require a traditional search textbox with the submit button.
This example illustrates how to use this textbox for grid filtering.
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OBSOLETE - ASPxGridView - creating external filter with the ASPxTextBox and highlighting search text
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