I am also looking for this..

Figured it out. Used a combo box and bound it to a field in the view model. <ComboBox x:Uid="cboFilter" Height="22" Width="95" Margin="10,0,0,0" ItemsSource="{Binding Path =Filters,Mode=OneWay}" SelectedValue="{Binding Path= SelectedFilter,Mode=TwoWay}" Template="{StaticResource ComboBoxControlTemplate1}" Foreground="White"  />

Then change the bound xamgrid collection based on the filter.

Sounds like you had to use something outside the standard xamGrid filter feature? Or is this using the built in xamGrid filter?

Yes I had to come up with my own outside the standard xamGrid filter in Silverlight.  Worked better for MVVM for me.

Not sure ,if the xamGird  has the same Fieldlayouts  RecordFilter that was available in the  WPF XamDataGrid

If there is a better way to do this, I'd like to know. Pls keep me posted.

Would be nice if someone from Infragistics team could shed some light into this discussion.