The Madonna of Grief is a key item in Resident Evil 6.
Along with Madonna of Sorrow it must be used to open the secret passage under the altar in the church for further completion of the game. Leon and Helena must place those statues simultaneously to specific round shelves located on the 3rd floor of the church.
After Leon and Helena place the two Madonnas, a Lepotica held in the church's basement will be released, leading to a chaotic battle.
This item is found by Leon and Helena while in Tall Oaks Church. It can be found in the secret passage after completing the bells puzzle.