Excel Like Filter for Gridview in asp.net

I have a difficult yet interesting task to share with u all.I want to add the functionality of filtering to a gridview in my page.The UI of the filter should look like the one we see in Excel .On the Click of button in the header i should display a dynamically generated  context menu containing a checkbox list of all the contents in the column.Further I have to filter the gridview based on the items checked in the checkboxlist.

Please suggest the Feasibilities to achieve this task .I request you to post any available resources to guide me through this .

Thanks in Advance ….