We present designs and fabrications of sub-wavelength anti-reflection structures on alumina for infrared filters at three observational frequency bands near 30, 125, and 250 GHz, which are widely used for instruments measuring cosmic microwave background (CMB) radiation from the ground. The three observational windows contain the two observational bands in each receiver, and the corresponding fractional bandwidth is about 60\%. We used laser ablation to directly machine on alumina substrate. This technology is robust against the use of an optical element at the cryogenic temperature with which all the CMB telescope receivers have to comply. Based on the fabricated 9 (3 × 3) pyramidal structures, we computed the expected averaged transmittance of above 0.97 for each of the three filter designs including anticipated absorptive loss, the loss tangent of 4 × 10{\^}(−4), and the incident angle up to 20 degrees. The band averaged instrumental polarization, the fractional difference between the p and s-state incident polarization states, is computed and they are less than ±4 × 10{\^}(−3) for the bands and incident angles.