1. Begin with a new file, 5×5 and with a transparent background. Then choose the Zoom Tool and zoom into 1600%. Now take the Pencil Tool and set the Master Diameter to 1 px and make sure you have black as your foreground color. Then start to paint the document like the image below.

2. Now go to Edit>Define Pattern and name it Grid Pattern.

Below is a picture with the Grid Pattern.