1. Open up a new 5x5 pixel
image with a transparent packground.
2. Select your Pencil Tool and set it to 1 pixel. Set your foreground
color to black.
3. Now draw something like a plus sign on your image (You might have to
zoom in on your image). It should look like this:

4. Define the pattern by going to Edit > Define Pattern. Now open up the
image you are going to be applying the grid to.

5. Now grab your Paint Bucket Tool and in the options bar (Window >
Options), change the Fill to Pattern. Next to Fill option you will see
the Pattern Option. Find your pattern in there and then create a new
layer.
6. Use your Paint Bucket Tool on the layer you just created. In the
Layers Palette, adjust the opacity to lighten or darken the grid. Here
is my final image: