Seeing as how no one is gonna explain to motorboat what that means "they're rocks", here it is. Pressing the 'H' key will cycle you through the choice of rock, grenade, smoke grenade, and flash grenade. Depending on the game style you are playing (online vs single player) these choices will differ.
Also, I have personally seen times when playing online that the grenades actually do not explode. At the time, the grenade did not fall off a cliff or anything, just did not explode. In this case, most likely due to lag.
MasterShake