On the GridMenu (which I assume is another custom control), expose the event ButtonClick by declaring it as public:
public event EventHandler ButtonClick;
If you like, you can create a custom event handler by defining a delegate, and a custom event argument class. Somewhere in the logic of this control, you will need to raise the event (perhaps in the Clicked event handlers of buttons contained on GridMenu; events can cascade). Coding in C#, you'll need to check that the event is not null (meaning at least one handler is attached) before raising the event.
Now this event is visible to TheGrid, which contains your GridMenu. Now you need to create a "pass-through" to allow users of TheGrid to attach handlers without having to know about GridMenu. You can do this by specifying an event on TheGrid that resembles a property, and attaches and detaches handlers from the inner event:
public event EventHandler GridMenuButtonClick
{
add{ GridMenu.ButtonClick += value;}
remove { GridMenu.ButtonClick -= value;}
}
From the markup of a control containing a TheGrid control, you can now specify the event handler by attaching it to OnGridMenuButtonClicked the way you wanted.