If I understand you correctly, you are talking about Excel's AutoFilters. Using Win32::OLE, you should be able to make this work... According to the documentation at Microsoft, the AutoFilter method applies to a Range. So, you would have something on this line...

use Win32::OLE;
my $ex=Win32::OLE->new('Excel.Application');
$ex->{Visible}=1;
my $book=$ex->Workbooks->Add;
my $sheet=$book->Worksheets(1);
## Here you would populate the spreadsheet
## I assume that the titles of the columns are contained in
## cells A1-Z1 here...
$sheet->Range("a1:z1")->AutoFilter;
## Now you have dropdowns for columns A1-Z1 that let you
## filter on the given column.
[download]

The M$ page cited will give you more options on the use of AutoFilter (you can pre-program the filter, for instance).

This assumes that you are running on a Windows platform so you can use OLE, of course -- WriteSpreadsheet is cross-platform, but I haven't used it.