Grace notes represent melodic decorations. Their value is not counted in the time of the measure and their exact performance may vary to some extent according to taste. We are probably most used to hearing the type of grace note that sounds a little before the main note. This type often is marked with a diagonal slash through its stem, as pictured. The other kind, more common in the classical era, sounds at what would have been the time of the main note, which is delayed to make room for it. The latter type might be fairly long, even half the value of the main note, which is reduced accordingly. Sometimes 2 or 3 notes are combined into a longer grace figure, and again their time is not counted in the time of the measure.
To make a grace note, enter a normal note, select it, and change it to a grace note using either the edit menu command or the option found in the info popup for the selected note (command-i brings up an info window for any selected staff item). Graces can be and usually are slurred - since they are small you will find it easier to adjust the slur position and shape if you use the zoom slider above the piano keys to enlarge the music display.