Internally yes, it functions the same way. It saves the current grid to a compound storage file that stores all the bookmarked grids. The bookmarks "grab grid layout" option stores the active grid layout definition, columns sizes, current row, preview panel width, etc. i.e. it forces the grid layout to the bookmarked one, instead of using the current when opening the bookmark.
The File>SaveGrid option also has the possibility to attach all the files, making the saved grid a stand alone file, not referencing the local PDF files anymore.
The grid bookmarks filename is obviously
the bookmarks.dat file you will find at the
%appdata%\PDF Explorer folder. The folder you refer is this location for Windows XP (still using XP?!), and previous Windows versions. But why you need to know this?! You can't just open this file with the File>OpenGrid functionality.