Click on the OPTIONS tab at the top of the screen. Click on Current Drawing Preferences then click on the GRID tab. Enter the X and Y grid spacing you want.
Note that the spacing between points on the grid will change as you zoom in and out. Say you set the grid spacing to .0625. As you zoom out the spacing will change to .625 then to 6.25 then 62.5 and so on. FYI, grid spacing has no effect on the the size of entities in you drawing. You can have a grid spacing of 1" and still draw a box that is .0001 x .0001.
Oh yeah, welcome to the forum. Just ask if you have any questions.