A Grid is a technical term for any independent collection of blocks that form together any ship or station (small ship, large ship, station). Their key features include among other things: their shared native use and distrubution of electrical power, the shared ability to natively control and access various blocks connected to this grid through the terminal(control panel interface), the shared control and use of thrusters/wheels from cockpits, a single center of mass, the automatic stabilization of the grid with Gyroscopes and unified control of all Spotlights, Connectors and Landing Gears in Cockpits.
Other Grids connected via Connectors, Rotors and Pistons will give all the grids access to electricity and terminal control (control panel interface) and sometimes connecting Conveyor systems (with certain rotors) but this is not true native control or access of the other grids. They all still have their own independently managed power system, control system and physics. Grids connected in this fashion are usually called Sub-Grids and while in the Terminal the blocks that are directly on them will be colored slightly differently (compared to the standard color for Terminal items) to show this, different subgrids have different colors indicating they are not from the same grid but all blocks on the same subgrid will be colored the same. Be warned subgrids are notoriously unstable especially in multiplayer, rotors and pistons have a tendency to become misaligned during movement or rotation compared to attached grids and violently explode. For this reason, these sub-grids are automatically locked when ships are traveling faster than 100 m/s.
Whenever players build or construct anything, they do so via connecting blocks to an already existing Grid or need to first place a starting block to build a new Grid to build from. Otherwise construction of new blocks is not possible. For Ships they typically start with Landing Gears while Stations start with a Light Armor Block.