You will want to grill clams, mussels or oysters on a grill safe pan or even a piece of aluminum foil (punch a couple of holes in it). The direct flame can burn the shells and that tend to be unappealing. Squid, or in this case calamari while still being a mollusk is a different fish altogether. It is grilled much more like you would shrimp.
When selecting mollusks in the shell make sure that the shells are closed tight or snap shut when tapped. Clams, oysters and mussels in the shell need to be rinsed in cold water to remove any sand. Always grill on a medium high to high heat.
Clams need only be washed off in cold water and put right on the grill. Close the lid for a couple of minutes and then wait for the shells to open. When they do, remove and serve.
Mussels require a little more preparation. The shells need to be cleaned of beards before they hit the grill of they just might catch on fire. Once cleaned they cook just like clams. Remember to be ready to serve these little morsels before you put them on the grill.
Oysters grill just like clams with one exception. Because of the shape of oysters you will want to grill them with the cup side down to hold in the juices. There are products on the market to help you grill things like this. Great Grate is a specially designed grill topper that holds oysters and mussels in the perfect position to get them cooked without letting the juices escape.
Scallops are general bought out of the shells. These are wonderful grilled because of the direct access that the meat has to the smoke. However they can quickly overcook and dry out. Place on skewers, grill on a medium high heat and keep some melted butter handy to baste them right before you remove them from the grill. Like all shellfish, you will want to serve these morsels right from the grill.