How can i fix this error and from where I get dxDBGrid file,i'm a new in Delphi,i'm getting the: [Fatal Error] File not found: 'dxDBGrid.dcu'
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As others have already told you, that's the file that contains Developer Express's TdxDBGrid. It's quite an expensive product, so before you go off and purchase it, it would be wise to see if you actually need it (I'll explain why I have a hunch you might not in a moment).
First thing to do is do a Find in Files search through all the units in your project, to see which of them lists dxDBGrid in the Uses list in its Interface section. Once you've found the file try and open it and see if the form contains a component of type TdxDBGrid. If it doesn't, remove dxDBGrid from the unit's uses list and try recompiling.
The error may go away, in which case, problem solved. The reason I think the error might go away is that typically, using a TdxDBGrid on a form causes a lot of other units from the DevEx package to be added to the unit, in addition to dxDBGrid, and usually they would appear in the unit's Uses list ahead of dxDBGrid, so if Delphi really can't find the files of the DevEx library, it's surprising Delphi isn't complaining about not being able to find those before it gets to dxDBGrid. So if it uses dxDBGrid alone of the Devex package (other units in their package typically begin with dx or cx), it's possibly only there is a historical hangover. Otoh, if the unit does use other dxXXX or cxXXX units and Delphi isn't complaining about not being able to find their DCU files, it must be finding them (in .DCU or .PAS form) ok.
If you're still stuck, post the Interface section of the unit which provokes the compiler error you described.
dxDBGrid.dcuwould be created fromdxDBGrid.pas, which is part of the Developer Express Grid components. If you don't own them, you'll need to buy them. If you do own them, they need to be installed, and the documentation should tell you how to do so. – Ken White