Go to the Assembly Navigator and and in the 'white space' press MB3 (right-mouse button) and select the option to 'Show Component Groups'. Starting in NX 4 we've replaced the term 'filter' with 'group' and are using the folder metaphor to show what's in each 'group'. So to access the options, you select a folder and then press MB3 to get the various options and settings.
I hope this gets you what you're looking for.
John R. Baker, P.E.
Product 'Evangelist'
UGS NX Product Line
SIEMENS
UGS PLM Software
Cypress, CA
