Make sure that $this->setUseAjax(true); is written in constructor of grid.php
The js code returned by Ajax call is not executable by default, you have to do something like
var code = transport.responseText; // Ajax returned text
var fieldset= document.getElementById('Configuration_Field_Set_Name');
fieldset.innerHTML = code;
var arr = fieldset.getElementsByTagName('script') // Get All Script Tags Returned by Ajax
// Last Step
for (var n = 0; n < arr.length; n++){
eval(arr[n].innerHTML)
}
Hope it will help !!