A Grand Prix is an extended, multi-race event that takes place at the end of a Class set. While you can move on to other Class sets without completing the Grand Prix, they are required to achieve 100% and complete a Class set fully.
A Grand Prix consists of three races, with points given for your placing in each race. First place will give you six points, second place will give you five, and so on until last place will get you only one point. At the end of a race, you're points are added to a scoreboard, allowing you to see who is where on the scoreboard. At the end of the last race, the racer with the most points will win the GP.
Unlike Burnout 3, you can only restart the whole Grand Prix, not the individual races.