No, that's a different feature.
You can find the tool in the Tools window on the HOME tab
Click on the Load Tool button marked with a red circle.
Now find the tool on the Running tab and double click on it to run it.
Specify the settings etc for your grid. Make sure to keep the Select Area from Map checked if you want to select the coverage area for the grid from a map window.
And do make sure to set the coordinate system - it defaults to Lat/Long.
Hit OK and select the area from the map using the tool you have been "handed".
The dialog now shows again for you to finetune the settings.