What is it:

As Strauss and Corbin (1990) explain:

A grounded theory, is one that is inductively derived from the study of the phenomenon it represents. That is, it is discovered, developed, and provisionally verified through systematic data. collection and analysis of data pertaining to that phenomenon. Therefore, data collection, analysis, and theory stand in reciprocal relationship with each other. One does not begin with a theory, then prove it. Rather, one begins with an area of study and what is relevant to that area is allowed to emerge.

(Strauss, A., and J. Corbin. 1990. Basics of Qualitative Research. Newbury Park, Ca: Sage. )(source)

How to do it:

Wikipedia entry on Grounded Theory:

Four Stages of AnalysisStagePurposeCodesIdentifying anchors that allow the key points of the data to be gatheredConceptsCollections of codes of similar content that allows the data to be groupedCategoriesBroad groups of similar concepts that are used to generate a theoryTheoryA collection of explanations that explain the subject of the research