Artificial lighting can be a bit daunting when you're first starting out, with a range of modifiers, setups, and techniques to learn. This great video will introduce you to grids and show you both why and how they're used in artificial lighting scenarios.
Coming to you from David Bergman at Adorama TV, this video is a great introduction to grids. The problem with a lot of modifiers, particularly bigger ones that cast a softer light, is that they tend to throw light everywhere, and it may spill places you'd rather not have it. This is where a grid becomes useful: put over the front of the modifier, it restricts the light at more extreme angles relative to the axis of the output, essentially narrowing the width of the spread, which is why you'll often see an angular measurement attached to a grid name, e.g. a 40-degree grid. This is especially handy when you're working with multiple lights and need to precisely control where each one falls. It's a popular way to shoot with beauty dishes as well. The grid helps to increase the drama given by the natural contouring of a well-positioned beauty dish by lighting just the subject's face and keeping the rest of the shot in shadow. As Bergman mentions, this also frees you to light the background however you please.