Lin, I looked at your profile and see that you were born in the 80's. My guess is you are running up against the privacy restrictions.and that if you are in the US your grandparents may not have been born in time for the 1940 census which is the latest one available.
Can you get your parents' marriage certificates, birth certificates, social security applications? If they are still alive will they get full copies of them for you? After that I would try for your grandparents marriage certificates. Will other members of your extended family help with getting these? Also try to get certs of aunts, uncles, cousins, etc.
It's not going to be easy because of the privacy restrictions.