GREP is a pattern recognition technique. It stands for General Regualr Expression Parsing, or something of the sort, and it's a very sophisitcated way of finding particular text. A regular text-based search looking for the letter "a" for example cannot discriminate if the match is in cat, bat or armadillo. GREP expressions can be written to match any single one of those, only the first two, or [retty much any other pattern you can define.
A grep style is a method for doing a GERP search in the text and applying a character style wherever a match is found. It operates in a similar way to a nested style, but application of the charcter style is triggered by a pattern match rather than a position or trigger character in the paragraph.
I beleive the Help files should give you some basics, and Peter Kahrel has published an ebook availble from O'Reilly for about $10 that does a very good job of teacing the syntax and basices of contructing GREP expressions.
