I've placed the script into an attachment in AussieBoykie's post to make things easier.
Download that .vbs.txt file and then drag it to Preferences / Toolbars / Scripts to install it.
You can then create a button, menu item or hotkey somewhere which runs the $FitlerMenu command which the script adds. See How to use buttons and scripts from this forum for how to create a toolbar button which runs a command.
When the menu appears, most of what it lists are your saved filters, which you can edit via Preferences / File Operations / Filters. You probably won't see the same thing as in the screenshots, since you'll have different filters saved (or may not have any saved yet).