Here's a demo that saves filters in the hash:
http://view.jqueryui.com/grid/grid-spf/movies.html
The links below the grid have some examples. Give them a try. You'll notice that the implementation is rather crude, it just encodes the filters as JSON, then url-encodes the JSON. A custom format could be a lot more efficient, but for a simple demo, it works.
A good bunch of the demo code makes the footer tools work, which isn't part of the grid, nor, so far, any reusable component. If you don't need that, the relevant code is actually just a few lines.
For browsers with no native hashchange event, you'd have to include a polyfill, like Ben Alman's hashchange plugin.