Adding a C1FlexGrid control to your application requires the exact same steps as adding any custom control. There's nothing special about the C1FlexGrid in this regard. You start by adding a reference to the C1FlexGrid assembly to your project, and then add the control using XAML:
<UserControl x:Class="MainTestApplication.MainPage"
..
xmlns:c1="http://schemas.componentone.com/winfx/2006/xaml"
>
<Grid x:Name="LayoutRoot">
<c1:C1FlexGrid/>
</Grid>
</UserControl>
Of course, you can also create the C1FlexGrid in code if you prefer:
var fg = new C1.Silverlight.FlexGrid.C1FlexGrid();
LayoutRoot.Children.Add(fg);