<asp:GridView ID="dgvDeplymentReport" runat="server" AutoGenerateColumns="false" OnDataBound="OnDataBound"
                   HeaderStyle-BackColor="#87CEFA" OnRowDataBound="dgvDeplymentReport_RowDataBound"
                   OnRowDeleting="dgvDeplymentReport_RowDeleting" OnRowEditing="dgvDeplymentReport_RowEditing">
                   <Columns>                
                   <asp:CommandField ShowEditButton="true" ButtonType="Image" EditImageUrl="~/App_Themes/Themes/images/edit.jpg" />
                   <asp:CommandField ShowDeleteButton="true" ButtonType="Image" DeleteImageUrl="~/App_Themes/Themes/images/delete.jpg" />                                                                                         
                   <asp:BoundField DataField="COUNTRY_NM" HeaderText="CountryName" ItemStyle-Width="100" />
                   <asp:BoundField DataField="LOB_NAME" HeaderText="LOBName" ItemStyle-Width="30" />
                   </Columns>
                   <HeaderStyle BackColor="LightSkyBlue" />
               </asp:GridView>
              <script type="text/javascript" src="http://ajax.googleapis.com/ajax/libs/jquery/1.8.3/jquery.min.js"></script>
               <script type="text/javascript" src="quicksearch.js"></script>
               <script type="text/javascript">
               $(function() {
                   $('.search_textbox').each(function(i) {
                   $(this).quicksearch("[id*=dgvDeplymentReport] tr:not(:has(th))", {
                           'testQuery': function(query, txt, row) {
                               return $(row).children(":eq(" + i + ")").text().toLowerCase().indexOf(query[0].toLowerCase()) != -1;
                           }
                       });
                   });
               });
              </script>
 
same as i did in sample app as fallows:
 
   <asp:GridView ID="GridView1" HeaderStyle-BackColor="#3AC0F2" HeaderStyle-ForeColor="White"
           runat="server" AutoGenerateColumns="false" OnDataBound="OnDataBound">
              <Columns>            
              <asp:BoundField DataField="COUNTRY_ID" HeaderText="Country ID" ItemStyle-Width="30" />
               <asp:BoundField DataField="COUNTRY_NM" HeaderText="Country Name" ItemStyle-Width="100" />
               <asp:BoundField DataField="COUNTRY_ABBRV" HeaderText="Country Abbreviation" ItemStyle-Width="100" />            
           </Columns>
       </asp:GridView>
       <script type="text/javascript" src="http://ajax.googleapis.com/ajax/libs/jquery/1.8.3/jquery.min.js"></script>
       <script type="text/javascript" src="qsearch.js"></script>
       <script type="text/javascript">
           $(function () {
               $('.search_textbox').each(function (i) {
                   $(this).quicksearch("[id*=GridView1] tr:not(:has(th))", {
                       'testQuery': function (query, txt, row) {
                           return $(row).children(":eq(" + i + ")").text().toLowerCase().indexOf(query[0].toLowerCase()) != -1;
                       }
                   }   );   
               });
           });
       </script>
 i added plugin also..
 
source code:
protected void OnDataBound(object sender, EventArgs e)
        {
            GridViewRow row = new GridViewRow(0, 0, DataControlRowType.Header, DataControlRowState.Normal);
            for (int i = 0; i < GridView1.Columns.Count; i++)
            {
                TableHeaderCell cell = new TableHeaderCell();
                TextBox txtSearch = new TextBox();
                txtSearch.Attributes["placeholder"] = GridView1.Columns[i].HeaderText;
                txtSearch.CssClass = "search_textbox";
                cell.Controls.Add(txtSearch);
                row.Controls.Add(cell);
            }
            GridView1.HeaderRow.Parent.Controls.AddAt(1, row);
        }
 i hav added jQry plugin also..
Pls help me
Thanks in Advance.. 
 note i referred this link:http://www.aspsnippets.com/Articles/Search-GridView-records-data-on-TextBox-KeyPress-using-jQuery-in-ASPNet.aspx