From "The New Essential Guide to Droids":
"I am Grievous, warlord of the Kaleesh and Supreme Commander of the armies of the Confederacy. And I am not a droid!"
The details of what Grievous is and how he came to be:
Grievous, born as Qymaen jai Sheelal, was the cyborg Supreme Commander of the Droid Army of the Confederacy of Independent Systems for most of the Clone Wars. Grievous was originally a reptilian Kaleesh from the planet Kalee, where he lived his early life.
After consulting with his ally, Confederate Head of State Count Dooku, IGBC Chairman San Hill arranged for a bomb to be placed on Grievous's shuttle, Martyr. The Kaleesh was critically injured, but lived, and Hill arranged for the final stage of his plan. Grievous was reconstructed as a cyborg and was presented to Dooku as a potential weapon to be used in the upcoming war that the count had planned against the Republic.
Somewhat less on-topic, Wookiepedia adds (sourced from "Star Wars Galaxies: Rage of the Wookiees"):
At some point after Grievous's death, his body was used to create the droid warrior N-K Necrosis, who considered himself to be the reincarnation of Grievous.