This wiki is a step-by-step example explaining how the controller, model and the view's CGridView work together. It explains simple things - as well as more complex things that you will anyway quickly have to know. So, even if you don't use dynamic gridviews, take a morning off and thoroughly work through this tutorial. It should save you lots of struggling.
Validators extending from CValidator all have a property named message. You can set this property in the corresponding validation rule to customize the error message. For example, the following validation rule uses an error message that is different from the default one: