If you want to run Grbl at 115200 baud instead of the default 9600, you need to build from source.
Grab the source;
git clone https://github.com/grbl/grbl
Edit the file config.h, then search for BAUD_RATE and change the value from 9600 to 115200 and save.
From this site: http://dank.bengler.no/-/page/show/5471_gettinggrbl?ref=checkpoint
it sent me to download WinAVR, which allows me to build code for the Atmel processor http://winavr.sourceforge.net/
I had some trouble getting the installer to finish, but once done, open a command window to the grbl folder that you created via git and type
All the code should compile pretty quickly and you’ll have a hex file
Use ArduinoUploader to upload to your Arduino and use Grbl Controller 3.4 to verify that you can run with the new baud.