all things that turn
all things that turn on the front wheel of your car:
1. wheel bearing
2. rotor
3. CV joint, outer
4. CV join, inner
#1: you should be able to jack up your car and push/pull on the tire (perpendicular to the side of your car). if it moves AT ALL, your wheel bearings are bad.
#2: could be that your caliper is not fully releasing your brake pads from the rotor, no easy way to check other than looking at it (or spinning the tire by hand while you have it jacked for the #1 test, above). without the engine running, you should be able to hear where the sound is coming from a lot easier.
#3: outer CV joint, where the half-shaft meets the back of the spindle, inspect that the boot is not torn (as focaltech suggested). also grab the half-shaft and try to move it forward/back & up/down at that end, it shouldn't move at all.
#4: same as #3, just the other end of it
oh, and my final piece of advice: your car is an '02 (if i read your userinfo correctly), so unless you have more than 36k, it's still under warranty. let the dealer figure it out. [

] none of the parts i mentioned above should be worn at this mileage (except the brake pads/rotors, which wouldn't make a grinding noise if worn out). good luck.