Grenades aren't actual throwing weapons anymore. There's basicly three kinds of grenades, Defensive, Offensive and Anti-Tank.
Offensive grenades ( frag grenades etc. ) are used when you assault a unit in difficult terrain, the only thing this does is negate the penalties for assaulting a unit in difficult terrain. Normally if you do so, your initiative is reduced to 1.
Defensive grenades ( Blight grenades etc. ) are used when you are assaulted by an enemy unit. This denies the enemy the bonus for assaulting ( +1 attack, furious charge etc. )
Lastly, Anti-Tank grenades can be used when assaulting a vehicle. This allows units that normally don't have the strength to hurt a tank ( eg. IG ) to blow it up by sticking a grenade onto it. Instead of their normal attacks, a model equipped with anti-tank grenades makes 1 attack against the tank ( note: when assaulting a non-walker or immobilized walker, you attack the REAR armour ), depending on howfar it moved before you auto hit ( when it was stationary ), hit on 4+ ( it moved up to 6" ) or 6+ ( it moved 12" or more ). If you are assaulting a walker, things get a bit more complicated, read the BRB on these guys.
In the BRB it states the strength of various grenades and their armour penetration bonuses.