If you mean the inline filter below the grid header, the first step will be like this …
$this->widget('zii.widgets.grid.CGridView', array(
'dataProvider' => $model->search(),
'filter' => $model,
'columns' => array(
...
array(
'name' => 'some_date',
'filter' => $this->widget('zii.widgets.jui.CJuiDatePicker',
array('model'=>$model, 'attribute'=>'some_date'), true),
),
...
The code above will turn the textfield into a datepicker, JUST FOR THE FIRST TIME. 
It will return to a normal textield after you have done something(sorting, filtering, or moving to another page…).
We have to convert the textfield into a datepicker every time after the ajax has updated the grid.
So, try the following …
$this->widget('zii.widgets.grid.CGridView', array(
'dataProvider' => $model->search(),
'filter' => $model,
'afterAjaxUpdate' => 'reInstallDatepicker',
'columns' => array(
...
array(
'name' => 'some_date',
'filter' => $this->widget('zii.widgets.jui.CJuiDatePicker', array(
'model' => $model,
'attribute' => 'some_date',
'htmlOptions' => array(
'id' => 'datepicker_for_some_date',
'size' => '10',
),
'defaultOptions' => array(
'showOn' => 'focus',
'dateFormat' => 'yy/mm/dd',
'showOtherMonths' => true,
'selectOtherMonths' => true,
'changeMonth' => true,
'changeYear' => true,
'showButtonPanel' => true,
)
),
true),
),
...
));
Yii::app()->clientScript->registerScript('for-date-picker',"
function reInstallDatepicker(id, data){
$('#datepicker_for_some_date').datepicker();
}
");
This will bring you something close to your needs, I hope.
Note: You may want to give some option parameters to the datepicker. You have to do it in the initial widget call and also in the javascript function call of datepicker().
[EDIT]
I’m sorry. I’ve made a mistake in the original post and updated the sample code.
Note: You may want to give some option parameters to the datepicker. You can do it with the initial widget call using "defaultOptions".