The Gray skin of RadGrid for ASP.NET AJAX has been discontinued since the Q1 2009 release of the product. Instead you can use the Default skin of the control which resembles to a great extent the previous Gray skin. I checked your account and it indicates that you are using a trial version of the controls, hence upgrading to the latest Q1 2009 SP2 release should not be a problem. Upgrade instructions can be found here
Additionally, you can test the online demo of the grid pointed below with difference skins and compare it with your grid configuration:
This can help us determine the cause of the layout issues you encountered in case they are not exhibited on the demo in question.
the Telerik team