As Vince said, the Create Fishnet tool is what you want to use. At the top of that help page in the summary section is a link to the How Create Fishnet Works page. Note that the main help page for most tools has a chart outlining various parameters, but many of them have such a 'how it works' link the same place that explains in more detail, often with graphic examples.
The how it works page explains how to set an angle to your fishnet by setting an origin for the fishnet and then giving the coordinate of a point on a line the y axis will match to which passes through the origin at a desired angle. If you wanted 45 degrees and your origin is 0,0 then your y axis coordinate would be 1,1 (or 2,2 or 33,33 or whatever). Note you may need to give negative values for some coordinates to get it to rotate in the desired direction. For example -1,1 would rotate counter-clockwise, while 1,1 would rotate clockwise.
The example given on the how it works page uses the math formula
tan (angle) = x coord / y coord. However, if you don't want to do the math or need to set your origin at a different point than the CRS origin, there's a step to take prior to starting the fishnet tool to get your y-axis coordinate. Create a line feature snapping and clicking once at the desired point for the origin to start the line, then right-click and choose Direction. Enter the angle you want (note how this is entered may vary with how your Editor Options are set regarding Units, specifically angles, and the negative value thing above come into play here as well), drag out to lengthen the line and then click or F2 to finish it. You can then get the x,y of the endpoint or any point on the line and use that x,y as your y axis coordinate in the fishnet tool. You'll also have to note the x,y of the point you want to use as your origin to enter those coordinates, since the tool doesn't allow for click input.
Yet another way to rotate it without doing so within the fishnet tool is as johns mentions. Create the fishnet to be the dimensions you want but don't worry about angle. When finished, select all of the lines or polygons. Holding down on the control key, move the mouse over the little x at the center of everything selected. When the cursor changes, click and drag the x to the origin about which you want to rotate everything (note if you deselect things that control point reverts to the center and you'll have to move it again). Then click the Rotate tool (dot with a circular blue arrow around it) on the Editor toolbar, hit the 'a' key, and enter the desired rotation angle.
As a final note, what I mentioned in my comment. If you're trying to create sub-grids you can either work in (creating the largest cells first), or work outward (creating the smallest cells first). It might be easier to do the latter and then select the grid squares that make up a single, larger grid square and use Aggregate Polygons, Dissolve, or Copy then Merge. The different sizes are probably best kept as separate layers for ease of use. You could also just run the fishnet tool multiple times with the same origin and y axis coordinate, and adjust the cell dimensions and row/column count to get the appropriate number of subdivisions in each grid.