Resolution:
The path to the file from which you include the grid php file should be the same in setUrl method. For example, if the grid PHP file is included in a page like this:

...
<div>
   <?php include ("path_to_grid/grid.php");?>
</div>
...

Then in the grid PHP file you should use setUrl like this:

<?php
...

// Create the jqGrid instance
$grid = new jqGridRender($conn);
// Write the SQL Query
$grid->SelectCommand = 'SELECT OrderID, OrderDate, CustomerID, ShipName, Freight FROM orders';
// Set output format to json
$grid->dataType = 'json';
// Let the grid create the model
$grid->setColModel();
// Set the url from where we obtain the data

$grid->setUrl('path_to_grid/grid.php');
...
?>

Where path_to_grid is the path to the grid.php file