Hi  tcpancard9393,
Refer below code.
HTML
<asp:GridView ID="GridView1" HeaderStyle-BackColor="#3AC0F2" HeaderStyle-ForeColor="White"
    runat="server" AutoGenerateColumns="false" OnDataBound="OnDataBound">
    <Columns>
        <asp:BoundField DataField="Id" HeaderText="Id" ItemStyle-Width="30" />
        <asp:BoundField DataField="Name" HeaderText="Name" ItemStyle-Width="100" />
        <asp:BoundField DataField="Country" HeaderText="Country" ItemStyle-Width="100" />
    </Columns>
</asp:GridView>
<script type="text/javascript" src="https://cdnjs.cloudflare.com/ajax/libs/jquery/3.7.1/jquery.min.js"></script>
<script type="text/javascript" src="quicksearch.js"></script>
<script type="text/javascript">
    $(function () {
        $('.search_textbox').each(function (i) {
            $('.search_textbox').removeAttr('placeholder');
            $(this).quicksearch("[id*=GridView1] tr:not(:has(th))", {
                'testQuery': function (query, txt, row) {
                    return (($(row).children(":eq(0)").text().toLowerCase().indexOf(query[0].toLowerCase()) != -1)
                        || ($(row).children(":eq(1)").text().toLowerCase().indexOf(query[0].toLowerCase()) != -1)
                        || ($(row).children(":eq(2)").text().toLowerCase().indexOf(query[0].toLowerCase()) != -1));
                }
            });
        });
    });
</script>
Namespaces
C#
using System.Data;
VB.Net
Imports System.Data
Code
C#
protected void Page_Load(object sender, EventArgs e)
{
    if (!this.IsPostBack)
    {
        DataTable dt = new DataTable();
        dt.Columns.AddRange(new DataColumn[3] { new DataColumn("Id", typeof(int)),
                        new DataColumn("Name", typeof(string)),
                        new DataColumn("Country",typeof(string)) });
        dt.Rows.Add(1, "John Hammond", "United States");
        dt.Rows.Add(2, "Mudassar Khan", "India");
        dt.Rows.Add(3, "Suzanne Mathews", "France");
        dt.Rows.Add(4, "Robert Schidner", "Russia");
        GridView1.DataSource = dt;
        GridView1.DataBind();
    }
}
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);
}
VB.Net
Protected Sub Page_Load(sender As Object, e As EventArgs) Handles Me.Load
    If Not Me.IsPostBack Then
        Dim dt As New DataTable()
        dt.Columns.AddRange(New DataColumn(2) {
                            New DataColumn("Id", GetType(Integer)),
                            New DataColumn("Name", GetType(String)),
                            New DataColumn("Country", GetType(String))})
        dt.Rows.Add(1, "John Hammond", "United States")
        dt.Rows.Add(2, "Mudassar Khan", "India")
        dt.Rows.Add(3, "Suzanne Mathews", "France")
        dt.Rows.Add(4, "Robert Schidner", "Russia")
        GridView1.DataSource = dt
        GridView1.DataBind()
    End If
End Sub
Protected Sub OnDataBound(sender As Object, e As EventArgs)
    Dim row As New GridViewRow(0, 0, DataControlRowType.Header, DataControlRowState.Normal)
    For i As Integer = 0 To GridView1.Columns.Count - 1
        Dim cell As New TableHeaderCell()
        Dim txtSearch As New TextBox()
        txtSearch.Attributes("placeholder") = GridView1.Columns(i).HeaderText
        txtSearch.CssClass = "search_textbox"
        cell.Controls.Add(txtSearch)
        row.Controls.Add(cell)
    Next
    GridView1.HeaderRow.Parent.Controls.AddAt(1, row)
End Sub
Screenshot
