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theFilterBar.WireGrid(this.gridDataBoundGrid1);
and replace it with this code.
GridStyleInfo style = new GridStyleInfo();
style.ModifyStyle(this.gridDataBoundGrid1.BaseStylesMap["Header"].StyleInfo, StyleModifyType.Copy);
style.CellType = "ComboBox";
style.ExclusiveChoiceList = true;
style.BaseStyle = "Standard";
style.Font.Bold = false;
style.BackColor = this.gridDataBoundGrid1.TableStyle.BackColor;
style.Borders.Bottom = new GridBorder(GridBorderStyle.Dashed);
style.DropDownStyle = GridDropDownStyle.AutoComplete;
theFilterBar.WireGrid(this.gridDataBoundGrid1, style);
This adds the DropDownStyle = AutoComplete setting to the default combobox.