A good place to do this is on the Horn of Magnus mission. A grimoire is a book of magical spells and invocations. In this game these books have thick spiked coverings and a triangle in the center of the front cover. They also have three eyes that move around. In the Horn of Mangus, you'll find the first grimoire where the first tome is located. After passing the hog pits, enter the city and stick to the right path, you'll see some bushes at a dead end. Go into the gap between these bushes. The grimoire is located on top of the inside part of the doorway through which you entered the room. Once the mission ends, you'll unlock the achievement.
As Lamb3ntSpartan added, you cannot drop it. If you do, you have to restart the mission or find another one. You can easily select it by accident when trying to access another item with the D-Pad. If you do so, don't hit RT. This makes you throw the grimoire, having it explode into shreds.