<DataGrid.ColumnHeaderStyle>
                <Style TargetType="{x:Type DataGridColumnHeader}">
                    <Setter Property="Template">
                        <Setter.Value>
                            <ControlTemplate TargetType="{x:Type DataGridColumnHeader}">
                                <Grid x:Name="gridColumnHeader">
                                    <Grid.RowDefinitions>
                                        <RowDefinition/>
                                        <RowDefinition/>
                                    </Grid.RowDefinitions>
                                    <ContentPresenter/>
                                    <TextBox x:Name="filter" Grid.Row="1" Height="30" Width="30"/>
                                </Grid>
                            </ControlTemplate>
                        </Setter.Value>
                    </Setter>
                </Style>
            </DataGrid.ColumnHeaderStyle>