I'm taking it you torqued it to much putting the grip on and it sheared off when you tried to break it lose, or in the best case scenerio it was just a cheap mim part? Go ahead and soak the screw down with wd40, aerokroil, breakfree, whatever you have that'll lube it. If it's drilled all the way through the frame spray it in from the other side too.
You can try to take the finest point flat blade screwdriver you have and try to turn the screw by catching a rough part of the surface near an edge and gently taping on it. WORK SLOWLY AND CAREFULLY.. you can scratch the gun very easily doing this. You can protect the finish somewhat by using tape around the hole just in case you slip, electrical tape works really good.
If that doesn't work hit the hardware store and ask for a tool called an easyout. You will need a small one to get that off. You're basicly going to drill a small hole in the screw itself and let the easyout grab ahold of the hole to turn the screw out. You're going to need a tiny one to do that size screw, so a hardware store might not have one that size look at the smallest they have, if it doesn't look like it'll work you'll need to order a tool.
Most of the gunsmith supply houses sell easyouts meant for smaller screws like that are in gun actions.. I have this set and it works good for me.
http://www.amazon.com/Smith-Wesson-SW1062-Extractor-5-Piece/dp/B000M64SDM/ref=pd_cp_hi_2
Take a sharp pointed punch and put a dimple on the broken part of the screw or the drill bit will tend to walk off the rough broken part and onto the gun. Drill the screw about an 1/8-1/4 inch in to let the easyout have something to bite into (use a drill press if you have one, if not, be careful). You'll see the thread on the easyout is oposite the thread on the screw, so turning to losen the screw actually makes the easyout bite in.
If any of that makes you feel nervous, just take it to a smith, it's about a 5 minute job and most guys are only going to charge about $20 or so to do it.