On the mission Rooftops - Departure you’ll get your first grenades.
The best place to do this is after Major Jones kicks through the iron gate (with legs I can only imagine were borrowed from She-Hulk) throws her grenade and blows up the enemies. Finish that shoot out and jump over in to the next building.
You’ll reach a checkpoint when Major Jones says ‘Damn, I knew I shouldn’t have let you go on that boat alone’. At that point throw a grenade aimed just in front of the door at the back of that room and you should kill all three enemies in that room.