This is really simple. Just put your asparagus in a zip lock bag, pour in some olive oil, and salt to taste. Shake until everything is coated. Throw on the grill for 5 minutes, turning every minute or so.
We tried this for the first time yesterday and everyone loved it.
*I've also read that after grilling you can sprinkle with grated Parmesan. Sounds good... we'll have to try that next time.