The Data Grid was moved to maintenance support mode. No new features/capabilities will be added to this component. We recommend that you migrate to the Grid component.
You can create a filer row in the Data Grid component. The filter row searches for the entered text in one column. If you want to look for the entered text in all Data Grid's columns, implement an external search panel.
To achieve this, place the Text Box component in the page markup and implement the search function in the the Text Box's TextChanged event.