A frag (fragmentation) grenade is an explosive device used against personnel, rather than inanimate obstacles. For example, you would not use a frag grenade to blast open a locked door, but rather to help clear areas of enimies.
Frag grenades are commonly made of metal, and are filled with a combustible material, such as gunpowder. There is a fuse inside a grenade, also made of combustible material, and housed inside a tube, which prevents the grenade from exploding prematurely. The combustible material of the fuse burns slower than the main charge of the grenade. The whole process that ignites the fuse and charge goes like this: First, the pin on the grenade is pulled. Then, when the grenade is thrown, the safety lever that holds the striker in place is released. The striker explodes a small charge called a primer. This ignites the fuse, which burns until it reaches the detonator, another small charge. This explodes, and in turn causes the main charge to detonate. That creates pressure and causes the entire grenade to burst into pieces, hopefully embedding in your enemies, and not in you.
The frag grenade is a brilliant weapon to use in Gears of War as it can cause great damage over a small area. If, when you use this you can throw it accurately enough, the enemy will be killed instantly. If you are not so accurate you could still cause the opponent a great deal of damage. If there are many enemies in one room, and you know you won't be able to take them out with standard weapons, having frag grenades could be really good as if you throw one of them in it could take out a couple meaning there are less for you to take out with your guns and other weapons are they can do more damage and quicker damage than most of the guns on the game.