Grilling is a dry heat cooking method that uses heat from beneath or under the vegetable or other foods to cook it.
You can use an outdoor charcoal or gas grill, but you can also use a grill pan inside on your cooktop to get the same grilled effect. Grilling uses the heat of the grill grates or grill pan to produce black grill marks on food which is the caramelization of the natural sugars in a vegetable or other foods.
Grilled foods benefit from being marinated before cooking or even use a little marinade to season the vegetables after cooking.