Hi developmin,

Check this example. Now please take its reference and correct your code.

I have created the example by refering the below article.

Filter GridView Records using DropDownList in HeaderTemplate ( Header Row ) in ASP.Net

HTML

<asp:GridView ID="GridView1" runat="server" AutoGenerateColumns="true" AllowPaging="true"
    PageSize="5" OnPageIndexChanging="OnPaging" OnRowCreated="GridView1_RowCreated">
</asp:GridView>

Namespaces

C#

using System.Data;
using System.Data.SqlClient;

VB.Net

Imports System.Data.SqlClient
Imports System.Data

Code

C#

protected void Page_Load(object sender, EventArgs e)
{
    if (!IsPostBack)
    {
        ViewState["Filter"] = "ALL";
        BindGrid();
    }
}
private void BindGrid()
{
    DataTable dt = new DataTable();
    String strConnString = System.Configuration.ConfigurationManager.ConnectionStrings["conString"].ConnectionString;
    SqlConnection con = new SqlConnection(strConnString);
    SqlDataAdapter sda = new SqlDataAdapter();
    SqlCommand cmd = new SqlCommand("spx_GetCustomers");
    cmd.CommandType = CommandType.StoredProcedure;
    cmd.Parameters.AddWithValue("@Filter", ViewState["Filter"].ToString());
    cmd.Connection = con;
    sda.SelectCommand = cmd;
    sda.Fill(dt);
    GridView1.DataSource = dt;
    GridView1.DataBind();
}
protected void CountryChanged(object sender, EventArgs e)
{
    DropDownList ddlCountry = (DropDownList)sender;
    ViewState["Filter"] = ddlCountry.SelectedValue;
    this.BindGrid();
}
private void BindCountryList(DropDownList ddlCountry)
{
    String strConnString = System.Configuration.ConfigurationManager.ConnectionStrings["conString"].ConnectionString;
    SqlConnection con = new SqlConnection(strConnString);
    SqlDataAdapter sda = new SqlDataAdapter();
    SqlCommand cmd = new SqlCommand("select distinct Country from customers where Country IS NOT NULL");
    cmd.Connection = con;
    sda.SelectCommand = cmd;
    DataTable dt = new DataTable();
    sda.Fill(dt);
    ddlCountry.DataSource = dt;
    ddlCountry.DataTextField = "Country";
    ddlCountry.DataValueField = "Country";
    ddlCountry.DataBind();
    ddlCountry.Items.FindByValue(ViewState["Filter"].ToString()).Selected = true;
}
protected void OnPaging(object sender, GridViewPageEventArgs e)
{
    GridView1.PageIndex = e.NewPageIndex;
    this.BindGrid();
}
protected void GridView1_RowCreated(object sender, GridViewRowEventArgs e)
{
    if (e.Row.RowType == DataControlRowType.Header)
    {
        Label lbl = new Label();
        lbl.Text = "Country";
        e.Row.Cells[2].Controls.Add(lbl);
        DropDownList ddl = new DropDownList();
        ddl.ID = "ddlCountry";
        ddl.AutoPostBack = true;
        ddl.Items.Add(new ListItem("All", "ALL"));
        ddl.Items.Add(new ListItem("TOP 10", "10"));
        ddl.AppendDataBoundItems = true;
        ddl.SelectedIndexChanged += new EventHandler(CountryChanged);
        this.BindCountryList(ddl);
        e.Row.Cells[2].Controls.Add(ddl);
    }
}

VB.Net

Protected Sub Page_Load(ByVal sender As Object, ByVal e As EventArgs) Handles Me.Load
    If Not IsPostBack Then
        ViewState("Filter") = "ALL"
        BindGrid()
    End If
End Sub
Private Sub BindGrid()
    Dim dt As DataTable = New DataTable()
    Dim strConnString As String = System.Configuration.ConfigurationManager.ConnectionStrings("conString").ConnectionString
    Dim con As SqlConnection = New SqlConnection(strConnString)
    Dim sda As SqlDataAdapter = New SqlDataAdapter()
    Dim cmd As SqlCommand = New SqlCommand("spx_GetCustomers")
    cmd.CommandType = CommandType.StoredProcedure
    cmd.Parameters.AddWithValue("@Filter", ViewState("Filter").ToString())
    cmd.Connection = con
    sda.SelectCommand = cmd
    sda.Fill(dt)
    GridView1.DataSource = dt
    GridView1.DataBind()
End Sub
Protected Sub CountryChanged(ByVal sender As Object, ByVal e As EventArgs)
    Dim ddlCountry As DropDownList = CType(sender, DropDownList)
    ViewState("Filter") = ddlCountry.SelectedValue
    Me.BindGrid()
End Sub
Private Sub BindCountryList(ByVal ddlCountry As DropDownList)
    Dim strConnString As String = System.Configuration.ConfigurationManager.ConnectionStrings("conString").ConnectionString
    Dim con As SqlConnection = New SqlConnection(strConnString)
    Dim sda As SqlDataAdapter = New SqlDataAdapter()
    Dim cmd As SqlCommand = New SqlCommand("select distinct Country from customers where Country IS NOT NULL")
    cmd.Connection = con
    sda.SelectCommand = cmd
    Dim dt As DataTable = New DataTable()
    sda.Fill(dt)
    ddlCountry.DataSource = dt
    ddlCountry.DataTextField = "Country"
    ddlCountry.DataValueField = "Country"
    ddlCountry.DataBind()
    ddlCountry.Items.FindByValue(ViewState("Filter").ToString()).Selected = True
End Sub
Protected Sub OnPaging(ByVal sender As Object, ByVal e As GridViewPageEventArgs)
    GridView1.PageIndex = e.NewPageIndex
    Me.BindGrid()
End Sub
Protected Sub GridView1_RowCreated(ByVal sender As Object, ByVal e As GridViewRowEventArgs)
    If e.Row.RowType = DataControlRowType.Header Then
        Dim lbl As Label = New Label()
        lbl.Text = "Country"
        e.Row.Cells(2).Controls.Add(lbl)
        Dim ddl As DropDownList = New DropDownList()
        ddl.ID = "ddlCountry"
        ddl.AutoPostBack = True
        ddl.Items.Add(New ListItem("All", "ALL"))
        ddl.Items.Add(New ListItem("TOP 10", "10"))
        ddl.AppendDataBoundItems = True
        AddHandler ddl.SelectedIndexChanged, AddressOf CountryChanged
        Me.BindCountryList(ddl)
        e.Row.Cells(2).Controls.Add(ddl)
    End If
End Sub

Screenshot