Creating a great looking Gridview with filtering

Matt Berseth recently wrote some articles about how to a design good looking Gridview's (Building a vs2008 Styled Grid and Gridview Themes based on Google's Personalized Homepage) which was exactly what I was after. I have been looking for quite some time for a good looking Gridview and Matt's were great, although they didn't include any filtering. Nearly all of my Gridviews have filtering enabled and so here is a quick tutorial to show you how to design a stylish Gridview based on Matt's design with filtering enabled for some of the columns.