If I understand correctly, you want to:
- Select one or more contiguous columns
- Go to menu Data::Filter::AutoFilter (or whatever i18n'd menu name you see in your version - position in the menu tree should be the same). Click it.
- See the new dropdown handle appear on all column headers
- Click on handle to apply the kind of filter or sort rule that you want.
Valid for OOo 3.3 and LibreOffice 4.2 and 4.4 (where the screenshots come from).
EDIT: Just came back to this and saw @sp00n's question. I am not using OOo, but LibreOffice 126.96.36.199 (on Linux) has exactly the same options. So nothing seems to have been removed in this area.