A protein with a cocrystal is docked by a ligand by selecting the grid box in the same position where the cocrystal ligand was. If a protein doesn't have any cocrystal, where will I set the grid box?
It is very interesting and good question. It is very simple.
1. If you have an unknown protein crystal structure having no cocrystal, you need to find active site of the protein to set the grid box. Prosite web site can be used to find the active site of the protein by providing the amino acid sequence.
2. If you have a protein crystal structure having no cocrystal, you can find another pdb of the same protein having cocrystal. The coordinates of cocrystal of the new pdb can be used for the choice of grid box in the protein.
You can do as Nayim Sepay suggests. Alternatively, just set the box to encompass the entire protein and let Autodock find docking sites. You can probe these sites with ligands known to bind to the protein in question and make some educated guesses about which site is most likely. Without more information about the protein, it is hard to be more specific.