A model of the formation and mechanics of a colloidal membrane is obtained within the framework of the hydrodynamic theory of cross diffusion. Coupled equations describing advection, diffusion and cross-diffusion of spherical tracer particles within a colloidal suspension are solved numerically. A dynamic membrane is formed by advecting the colloidal particles toward a porous support; as the particles build up against the support they form a concentrated boundary layer; at sufficiently high concentrations this layer behaves like a filtration membrane. A tracer pulse is advected toward the steady-state colloidal membrane; the tracer particles are filtered by the colloidal particles via excluded volume and hydrodynamic interactions, quantified by the colloidal reflection coefficient. The filtered tracer particles form a secondary concentrated boundary layer within the membrane. Decreasing the size of the tracer particles allows them to penetrate further into the colloidal membrane, and finally to pass through below a critical size threshold.