I would suggest using the "through" relation as it makes life easier. All you have to do is, goto your "payments" model and add the following relations,
public function relations()
{
return array(
'order' => array(self::BELONGS_TO, 'Orders', 'order_id'),
'user'=>array(
self::BELONGS_TO,'User',array('user_id'=>'id'),'through'=>'order'
),
'profiles'=>array(
self::HAS_MANY,'Profile',array('id'=>'user_id'),'through'=>'user'
),
);
}
and in the grid you can access the first_name by using,
$data->profiles[0]->firstname