gdal_grid: command not found

Maybe Your $PATH variable doesn't contain the default paths? echo $PATH should give something like:

[root@server ~]# echo $PATH
/usr/local/sbin:/usr/local/bin:/sbin:/bin:/usr/sbin:/usr/bin:/root/bin

If it's empty, You may set the PATH variable with this command

export PATH="/usr/local/sbin:/usr/local/bin:/sbin:/bin:/usr/sbin:/usr/bin:/root/bin"

On CentOS possible default full paths are:

/usr/bin/gdal_grid - from package: gdal

You may install the required package with command yum install {package}

On Debian possible default full paths are:

/usr/bin/gdal_grid - from package: gdal-bin

You may install the required package with command apt-get install {package}

Error in other languages:
gdal_grid: bevel nie gevind nie
gdal_grid: comandă negăsită
gdal_grid: comando não encontrado
gdal_grid: commande introuvable
gdal_grid: command not found
gdal_grid: käsku ei ole
gdal_grid: không tìm thấy lệnh
gdal_grid: komanda nerasta
gdal_grid: Kommando nicht gefunden.
gdal_grid: kommandot finns inte
gdal_grid: komut yok
gdal_grid: nie znaleziono polecenia
gdal_grid: níor aimsíodh an t-ordú
gdal_grid: no se encontró la orden
gdal_grid: no s'ha trobat l'ordre
gdal_grid: opdracht niet gevonden
gdal_grid: parancs nem található
gdal_grid: perintah tidak ditemukan
gdal_grid: príkaz nenájdený
gdal_grid: příkaz nenalezen
gdal_grid: команда не найдена
gdal_grid: командата не е открита
gdal_grid: 命令找不到
gdal_grid: コマンドが見つかりません