Filtered index is an index that is filtered.
Filtered index contains a where clause, so that the index is only created on the set of rows filtered by the where clause.

Example:
[sql]
USE AdventureWorks
GO
CREATE NONCLUSTERED INDEX VendorURLNotNull
ON Purchasing.Vendor (AccountNumber,Name)
WHERE PurchasingWebServiceURL IS NOT NULL ;
[/sql]

Reference : Devi Prasad (sqlserverlearner.com)