What type of custom filtering are you looking for. Pretty much anything is possible just using the default Advanced Filters page, it just may take some thinking about it to find the optimal usage.

EDIT: Nevermind, I misread the needs of the reporter; he is talking about the My View page. In this case, it's certainly possible, but would reqjire adding / editing the underlying code to add new filters. As far as I know, there is no configurable way of adding new filters.

@JReese: As you're in the developer team could you shortly tell me, where to patch the current code of mantis (V1.0.7) to get this achieved?

You would need to alter your configuration to add a new box to the My View page, then you would need to alter core/wy_view_inc.php to create a filter for the new box name you've added. You may need to do more than that, but you can always use my_view_page.php ao a starting point, then trace the code to figure out how everything works, it should be fairly straightforward.

@JReese: Thanks for the hint, in general I think, that I understand the patching process and what todo where. But how are the custom fields integrated into such a filter?

FYI:
With internal filters using own statuses I had success to integrate them, but the other question (s. above) is open. Please give as good advice - thanks

Custom Fields are a little more difficult to add to filters, but certainly possible. Look at line 1139 of core/filter_api.php to see how to add Custom Fields to your filter array, and replicate that for your custom filter in core/my_view_inc.php