I am not sure why the link in the navigation tab is there, but I think the developers on this thread are overlooking that link, and instead are clicking on the course link in the "course profiles" section in the middle of the page and THEN clicking on the grade book.
That is what the instructions say to do, but it is non-intuitive, which is why you've all missed it.
Developers: if the link in the navigation bar
Users -> Joe Student -> Activity Reports -> Grade (which links to /course/user.php?mode=grade&id=1&user=20 )
is supposed to be different than:
Current course -> Course Name-> Participants -> Joe Student -> Activity Reports -> Grade (links to: /course/user.php?mode=grade&id=3&user=20 )
probably you should make that more clear.
The person's hack suggested above to show all courses when clicking on that link, is a good one (I didn't check or use the code, but the idea sounds good).