Has anyone ever won a set in a grand slam without dropping a single point?
A golden set has been seen 5 times (1). But as to "in a grand slam", it looks like only one time it has happened in Grand Slam. Yaroslava Shvedova won a golden set in 2012 Wimbledon while playing against Sara Errani (2).
The Grand Slam itinerary consists of the 1. Australian Open in mid January, the 2. French Open in May/June, 3. Wimbledon in June/July, and the 4. US Open in August/September.
The above quote is from this Wiki article, and offers a lot more information on the history of Grand Slams in particular.