All malts are grains, but not all grains are malt. "Malt" refers to malted grains, and these are required for the majority of your mash. The malting process makes the required enzymes available for mashing. The majority of your mash should be made up of "base malts", which are malts that have enough diastatic (i.e., enzymatic) power to convert themselves, along with any adjuncts you use. These are malts such as Pilsner, Pale 2-row and 6-row, Pale Ale malt, and so on.
Even if you do want to jump into all-grain brewing right to start (and you certainly can if you understand all the steps involved), you should really start off with a proven recipe, or better yet, a kit.