The "grain" is how heavy the bullet is. The factory ammo you can buy from the store will usually be 125, 150, 165, and 180 grain options. Heavy is usually slower, but does more damage on the other end, light is usually faster and will not drop as much (ie more accurate). But that is not always true. With one of my guns I found that the 180 grain seems to always shoot more accurate and consistant than anything else. In another gun I find that a mid-weight may work better.
You should go buy 1 or 2 boxes of a few different kinds and see what seems to shoot better.
Or really for now, since this is new, go buy some of the cheaper stuff, and just start shooting, so you can get use to in, comfortable with it, and learn how to shoot it well before you get too worried about the hair splitting details of what ammo to shoot.
If the scope is not adjusted yet, maybe take a large piece of cardboard with you, so you can have a better chance of hitting that, and just spend the first time trying to get the scope adjusted.