I am sorry I don't have Visual Fox on my computer now. So, I can't be very precise. I had the same problem 2 months ago. There are 2 situations:

1. You open the form (Grid_Form) that contains the grid after you close the form (Filter_Form) that contains the conditions for the filter. If you issue the SET FILTER command in the Filter_Form, you must look in the Dataenvironment section of the Grid_Form and set AutoOpen to false for the respective cursor (table). Or, you can memorize the filter condition into a global variable and set the filter condition in the Grid_Form. First solution is better, but you must open the table before you open the Filter_Form.

2. You open the Grid_Form before you open the Filter_Form. You must return the filter condition to the Grid_Form and issue the SET FILTER command.

Once again, I am sorry I can't test it right now and I can be a little wrong. In fact, there are more solutions, but I am not very sure which really works. Anyway you must know that every form opens automatically the tables, by default. So, if you don't change this option in the Dataenvironment section, you can't keep filters from one form to another.