I assume you are putting th eFilterbar on th eparent grid and not on the drop grids, correct?
Try handling the GridFilterBar.CreatingHeaderColumns event and cancel it if you are on the dropdown column.
GridFilterBar filterBar = new GridFilterBar();
filterBar.CreatingColumnHeader += new GridFilterBarCreatingColumnHeaderEventHandler(filterBar_CreatingColumHeader);
filterBar.WireGrid(this.customerGrid1);
//the handler code
private void filterBar_CreatingColumHeader(object sender, GridFilterBarCreatingColumnHeaderEventArgs e)
{
if(e.ColName == this.customerGrid1.Binder.InternalColumns[0].MappingName)
e.Cancel = true;
}