I just posted the answer to the same question (maybe from you) at http://www.trirand.com/blog/?page_id=393/help/jqgrid-filtering . To make other people easily read the answer, I post the same information here.
The answer to your question depends a little on how you interpret "filtering". If you want to use some external controls (selects, checkboxes, etc. On the same page where you have jqGrid) to filter your data, I recommend that you read How to filter jqGrid NOT data using the built-in search / filter block .
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