Converting it to bitmap is easy, just use paint or some other program.
Now, to get it into GRP format, you have to create a .ral file.
CODE
marine.grp
marine000.bmp
marine001.bmp
marine002.bmp
marine003.bmp
marine004.bmp
marine005.bmp
...
Your ral file should look something like this ^
The top is what the GRP will be named, and the .bmps listed after it are the individual frames of the Marine.
Then you load RetroGRP, click "Compile to GRP", select your ral file and you've got a GRP

The GRP will appear as something like x_marine.grp for our example. Then you rename it, place it at the appropriate path, and you're done.
Depending on what you're replacing, you may have to do some iscripting to get it to work properly.
Can you tell us which file you downloaded from Campaign Creations? Usually their stuff is in GRP format...