1) Handle the FilterBarCreatingColumnHeader event. In the event handler, you can disallow filtering for a column. Searc for "don''t try filter these columns" in the GridFilterBar sample we ship.
2) You can avoid this problem by handling the CurrentCellMoving event and either cancel the changes or save them if you are clicking a filterbar cell.
private void gridDataBoundGrid1_CurrentCellMoving(object sender, GridCurrentCellMovingEventArgs e)
{
if(this.gridDataBoundGrid1.Binder.IsAddNew &&
this.gridDataBoundGrid1.CurrentCell.MoveToRowIndex == 1)
{
this.gridDataBoundGrid1.CurrentCell.EndEdit();
this.gridDataBoundGrid1.Binder.EndEdit();
// or maybe this.gridDataBoundGrid1.Binder.CancelEdit();
}
}