On this Adorama video, photographer Mark Wallace plays around with different grids for his lights and demonstrates how they change the look of your subject.
Grids are a great way to focus the light. They are typically round metal pieces which have a honey cone shape and comes in different angles (typically 10, 20 and 30 degrees). The narrower the angle (smaller number) the more focused your light will be.
There are other ways to restrict and focus light – barn doors, snoots (see video here) as well as physically blocking the light with black fabric or paper/cardboard will all do the trick but in different ways.
Bonus video: Understanding Grids with the Slanted Lens