It's possible that on OSX Lion or Mountain Lion the jGridStart does not work. This is due to the java support for OSX moving from Apple to Oracle directly. To fix this check the following article
http://support.apple.com/kb/HT5559 to get javaws on the commandline so you can use it like this:
> javaws http://ca.dutchgrid.nl/start/jgridstart.jnlp
. You can also download the latest java for
OSX from Oracle and
open /System/Library/CoreServices
after that to update your CoreServices (you will just see a new Finder window, nothing seems to happen).