The way every grip I've ever used has worked is that whatever particular button on the grip corresponds to a particular button on the camera will function the same way as that button on the camera body without any additional setup. Just as pressing the shutter release on the grip does the exact same thing as pressing the shutter button on the camera, if the grip includes an AE-L:AF-L button it should function the same way as how you have the AE-L:AF-L button set on the camera.
If it is not doing so, then you need to troubleshoot a little. Most of the time I have found that disconnecting the grip, checking to be sure the spring loaded connecting pins on the grip and the in the battery well of the camera are cleaned and properly aligned, reinserting the grip and wiggling it around to be sure it is in the battery well straight and pressing all the way against the contacts will go a long way to solving any problems with a button (or more) not working. Most grips also have an on/off switch. Please check to be sure it is in the on position.