The most obvious point of distinction between grub screws and other types of standard screws and bolts is that true grub screws tend not to feature a protruding head. Instead, they’re usually threaded right to the top, and are the same diameter all the way along their length, meaning that the grub screw can be fully driven into its hole to sit flush with (or even countersunk into, depending on the application) the workpiece.
Set screws often do feature a head - very likely a hex fitting - but without a threadless section immediately below it (again, this is different to the length of unthreaded shank you’d typically find on a standard bolt). Because they often feature no protruding screw head in the traditional sense, true grub screws tend to be driven by means of a sunken internal recess at what is still generally referred to as the ‘head end’.
The internal-wrenching drive used to seat a headless grub screw can be either a hex socket (as in Allen keys - you’ll need to know the correct Allen key sizes for grub screws, which can usually be found on the packaging), a star (Torx) socket, a square socket (known as a Robertson drive), or a regular slotted drive. This will depend on the brand and model, and again on the exact type of screw being used for any given application.