I've made a few bug-fixes to my DataGridViewAutoFilter sample, which is described in Building a Drop-Down Filter List for a DataGridView Column Header Cell. It might be a week or two until the article is updated (as of December 5, 2007), but the new sample download has already been posted. The download contains C# and VB projects, plus the updated article in Word 2003 format.
Here's a summary of the fixes: