By default, Yii displays a textbox to search (filter) within results/records displayed by CGridView. In order to change those textboxes to drop down list (combo boxes), all you need to do is to assign an array to "filter" property of grid column. Have a look at the code below to get clearer picture.

<?php $this->widget('zii.widgets.grid.CGridView', array(
	'id'=>'business-grid',
	'dataProvider'=>$dataProvider,
	'filter'=> Business::model(),
	'columns'=>array(
		'business_id',
		'name',
		'package_id'=> array(
			'name' => 'package_id',
			'value' => '$data->package->package_title',
			'filter'=> CHtml::listData(Packages::model()->findAll(array('order'=>'package_title')), 'package_id', 'package_title')
		),
		'user_id'=>array(
			'name' => 'user_id',
			'value' => '$data->user->name',
			'filter'=> CHtml::listData(Users::model()->findAll(array('order'=>'firstname')), 'id', 'name')
		),
		'categories' => array(
			'name' => 'categories',
			'value' => '$data->returnAllCategories(", ",false);',
			'filter'=> CHtml::listData(Categories::model()->findAll(array('order'=>'category')), 'cat_id', 'category')
		),
		'keywords' => array(
			'header' => 'Keywords',
			'value' => '$data->returnAllKeywords(", ",false);',
		),
		'links'=>array(
			'header'=>'Manage',
			'type'=>'raw',
			'value'=>'CHtml::link(CHtml::image(Yii::app()->request->baseUrl."/images/admin/approve.png","Approve"), array("approve","id"=>$data->business_id,"item"=>"business"),array("class"=>"approve-link","title"=>"Approve Business"))." ".
					  CHtml::link(CHtml::image(Yii::app()->request->baseUrl."/images/admin/reject.png","Reject"), array("reject","id"=>$data->business_id,"item"=>"business"),array("class"=>"reject-link","title"=>"Reject Business"))',
		),

	),
));