As you can see from Hoosier_Daddy's picture of a grid, its a piece of honeycombed patterned aluminum that goes in front of a standard lamphead to help aim the light in a narrow beam. They come in various diameters and degress, 20, 30, 40, etc depending on the manufacturer, to give you more or less coverage. Think of it as a poor man's fresnel, with less control. They're also available made of fabric to fit inside the frame of some softboxes, which give the softbox more contrast, direction to the light, and less spill onto the set. This shot below used probably a 40 degree (I don't really know because its a very old Norman gird, and they weren't rated) and you can see how it limits the light from washing out the red background, only cleaning up the light on the model, Felicia. They can also be used as a hair or rim light, or simply to accent something, even a background (like when you see a hot spot in the center of a plain seamless).
Andy Pearlman Studio