In this paper, the Filter-and-Forward strategy is developed for cooperative relays in Cognitive Radio networks with underlay structure and frequency selective fading channels. A cost function is defined to minimize the required transmitting power of the relay networks and the secondary user. This is performed subject to keeping the power of noise and interferences at the primary receiver less than a predefined limit and an SINR above a given threshold. In this structure, a power control is also carried out on the secondary transmitter. Simulation results show that the proposed algorithm converges to an optimal solution based on the interior point method. The results show that compared to the Amplify-and-Forward strategy, we achieve a higher SINR threshold in the secondary receiver and need a lower transmitting power at the relays and secondary transmitter.