Have you tried assigning the value of 0 to your "All" option? For example:
<asp:listitem selected="True" value="0" text="All"></asp:listitem>
When you select "All", the value of 0 will be passed to your FilterExpression along with the value you selected from your second dropdown. So if you select "All" for first dropdown and select "5" for your second dropdown, the filter criteria would result to this:
"SELECT [Code], [CurrentBalance], [LastBalance] From Balance WHERE [LastBalance]= 0 AND [CurrentBalance] = 5"
If that query returns anything, then it would be reflected to your grid.