Micrsoft CRM doesn't provide this customisation, and there are no good solutions on the Internet. After 3 hours research for the source, I found a simple solution:
The file you need to modify is: \CRMWeb\_controls\AppGridFilterContainer\AppGridFilterContainer.htc
Open the file by notepad, and search the string : oCallback(oCtrl);
Just add some code above it:
oCtrl.DataValue = "All";
Save and Close, that's it. Next time when you open History, you will see the change.