jQuery DataTables add column Filter not working

When I look on the Datatable plugin Web Site, at this URL (http://www.datatables.net/release-datatables/examples/api/multi_filter_select.html), it seems pretty obvious you're going the wrong way.

Here's what they are doing to add <SELECT> to accomplish data filtering on columns in a datatable :

(function($) {
/*
 * Function: fnGetColumnData
 * Purpose:  Return an array of table values from a particular column.
 * Returns:  array string: 1d data array
 * Inputs:   object:oSettings - dataTable settings object. This is always the last argument past to the function
 *           int:iColumn - the id of the column to extract the data from
 *           bool:bUnique - optional - if set to false duplicated values are not filtered out
 *           bool:bFiltered - optional - if set to false all the table data is used (not only the filtered)
 *           bool:bIgnoreEmpty - optional - if set to false empty values are not filtered from the result array
 * Author:   Benedikt Forchhammer <b.forchhammer /AT\ mind2.de>
 */
$.fn.dataTableExt.oApi.fnGetColumnData = function ( oSettings, iColumn, bUnique, bFiltered, bIgnoreEmpty ) {
    // check that we have a column id
    if ( typeof iColumn == "undefined" ) return new Array();

    // by default we only want unique data
    if ( typeof bUnique == "undefined" ) bUnique = true;

    // by default we do want to only look at filtered data
    if ( typeof bFiltered == "undefined" ) bFiltered = true;

    // by default we do not want to include empty values
    if ( typeof bIgnoreEmpty == "undefined" ) bIgnoreEmpty = true;

    // list of rows which we're going to loop through
    var aiRows;

    // use only filtered rows
    if (bFiltered == true) aiRows = oSettings.aiDisplay;
    // use all rows
    else aiRows = oSettings.aiDisplayMaster; // all row numbers

    // set up data array   
    var asResultData = new Array();

    for (var i=0,c=aiRows.length; i<c; i++) {
        iRow = aiRows[i];
        var aData = this.fnGetData(iRow);
        var sValue = aData[iColumn];

        // ignore empty values?
        if (bIgnoreEmpty == true && sValue.length == 0) continue;

        // ignore unique values?
        else if (bUnique == true && jQuery.inArray(sValue, asResultData) > -1) continue;

        // else push the value onto the result data array
        else asResultData.push(sValue);
    }

    return asResultData;
}}(jQuery));


function fnCreateSelect( aData )
{
    var r='<select><option value=""></option>', i, iLen=aData.length;
    for ( i=0 ; i<iLen ; i++ )
    {
        r += '<option value="'+aData[i]+'">'+aData[i]+'</option>';
    }
    return r+'</select>';
}


$(document).ready(function() {
    /* Initialise the DataTable */
    var oTable = $('#example').dataTable( {
        "oLanguage": {
            "sSearch": "Search all columns:"
        }
    } );

    /* Add a select menu for each TH element in the table footer */
    $("tfoot th").each( function ( i ) {
        this.innerHTML = fnCreateSelect( oTable.fnGetColumnData(i) );
        $('select', this).change( function () {
            oTable.fnFilter( $(this).val(), i );
        } );
    } );
} );