I am sorry in that I should have responded sooner, but to be honest, I was too agitated over the shipping involved with this bird. you have no idea as to how lucky you are to have been able to open the container and find a stressed out bird instead of a corpse, but the breeder should have been aware of the risks involved and shipped the bird same day sir. I am so upset and can barely type this even now and I saw this post within minutes of you submitting it. I have six birds of five different species, one of which is a Grey. I have them because they were all abused and needed a caring home where they would not suffer from abuse. They are all very special to me, but the Grey holds a special place in my heart.
If I am reading this post correctly you are also new to living with parrots, so until I hear from you informing me otherwise I am going to operate on this assumption. The first thing that you are going to need to learn is the birds body language and here is a link to help you with this
http://www.birdsnways.com/wisdom/ww15eii.htm Most parrots have very similar body language so it doesn't matter that some of the body language is using a different species of parrot.
The very next thing that you need is to learn what to feed your bird, which has been addressed adequately by Pajarita. However, in addition to what Pajarita has said watch him eat and take note of what foods he eats as well as the order in which he eats them as he will pick out his favorite foods to eat first and this will give you insight as to what foods you can use for treats with him. Generally they will like things like sunflower seeds or nuts such as almonds when his jaws are strong enough to eat them, but he may also like such things as apples or melons, mine likes cantelope and watermelon a lot and her favorite is almonds.
Now you are ready for your first interactions with your new baby and that is to spend as much time as you can just sitting around at various distances from his cage and talk to him, use a lot of praise in your speech and let him know that you love him and want to be his friend, he needs the reassurance and needs to feel that he can trust you. As he recovers from the shock and stress of his journey and begins to get accustomed to your presence he will start looking forward to you being there for him and will begin to move to the side of his cage that you are on. If you are close enough to his cage when he starts coming towards you then you will be able to begin to offer him a treat while you are talking with him. You should be studying his body language while you are doing all of this hanging out and talking to him so that you can begin to see what he is trying to tell you. Once he is coming over to you and accepting treats from your fingers through the bars of his cage in a calm and relaxed manner then you can begin offering treats while you sit in front of his open cage talking with him and if you are patient he will begin to step up onto your hand all by himself. You must never force yourself on him by insisting on any action from him. If you ask him to step up and he doesn't then wait a minute or two and ask again and if he does not step up after you ask him the third time move on to something else. For you to have the relationship that is beneficial to both you and him you have to let him set the pace and come to you, let him open himself up to you as he sees fit not as you think it should happen because if you start insisting then you will damage the trust and therefore the bonding.