By default a grid is a collection of posts, pages or custom post types. This means that every item in the grid is a post on your website and you can filter by categories and tags, for example.
Another options is to have a grid of taxonomy terms. Basically a grid where ever item is a category on your website. Clicking through can take people to that category page, listing all posts in that category.
Use the set custom links and images feature to alter the look or destination of these items.