Setrange or Setfilter on ore than one field

Based on this question
I want to setfilter the data on more than one field in table with any specific field.

Scenario.
I has two customized field in Sales Header New Location Code,Old Location Code.

I want to setfilter the data on the basis of Location Code,New Location Code,Old Location Code

Very basic anwer: For each field you want to filter you'll have to put a setrange/setfilter on each field:
setrange("location code",'DELHI');
setrange("new location code",'DELHI');
setrange("old location code",'DELHI');

Since you use | in your wrong filter I think you mean to OR the filters on the different fields.

That scenario is with only user interaction almost impossible, with code, see the post of mohana_cse06
If an end user wants to do that, he has to filter one one field first, mark the records (ctrl+f1, see menu edit)
filter on the next field, mark the new ones (else the mark will be gone on records with filter on field 1 AND filter on field 2)
do this for the next fields, and then remove all filters, and in the menu view select marked only.