Estuve harto tiempo buscando algo para filtrar el datagridview hasta q di con esto :
Imports System.Data
Imports System.Data.SqlClient
Public Class Form1
Private dv As New DataView
Private Sub Form1_Load(ByVal sender As System.Object, ByVal e As System.EventArgs) Handles MyBase.Load
Dim cnn As New SqlConnection("Data Source=MyServidor;Initial Catalog=MiBaseDeDatos;Integrated Security=SSPI;")
Dim da As New SqlDataAdapter("<a title="SELECT" href="http://www.solovb.net/index.php/2009/01/11/sql-select/">SELECT</a> * FROM Products", cnn)
Dim ds As New DataSet
da.Fill(ds)
dv.Table = ds.Tables(0)
DataGridView1.DataSource = dv
End Sub
Private Sub TextBox1_TextChanged(ByVal sender As System.Object, ByVal e As System.EventArgs) Handles TextBox1.TextChanged
dv.RowFilter = String.Format("ProductName Like '%{0}%'", TextBox1.Text)
End Sub
End Class
[URL="http://www.solovb.net/index.php/2009/02/25/filtrar-resultados-usando-dataview/"]Filtrar resultados usando DataView[/URL]