What version of QGIS, first?
I'm using 2.8, and I loaded a layer that has a proper projection/coordinate reference system (CRS).
My project is now using that CRS (in my case, MGA Zone 55, 28355). I can tell that by looking in the lower right corner of the QGIS window, or going to project properties.
If I choose 'Vector' -> 'Research Tools' -> 'Vector Grid' tool, and load extents from the loaded layer and generate the grid it's loaded into my workspace with a CRS defined (and it's 28355 as I expected).
What I'd do if I were you is make sure you're working in the right CRS from the start. Make sure your data has a CRS, and if not, that your project has one defined (and turn on 'on the fly reprojection' so other layers get transformed).
If you really just want to reproject your generated grid, choose 'save as' and define your output CRS (make it the same as the dataset you want to join to).