How to bake a sponge cake in a grill microwave oven
If you are sure that your oven can turn the microwaves completely off, then use it like any other toaster oven. Turn the microwaves off so only the heat elements are on, turn to the temperature you need, let it "bake" for 10 minutes without anything inside. It is preheated. Bake the cake as usual. Be aware that, if the heating elements are on top only, you probably won't get a good cake. Cakes can be made in toaster/grilling ovens, but need heat from both below and above, or in the worst case from below only. 

If you don't have temperature controls for the grill, you can risk a try, but it is unlikely that the temperature will be suited for a cake. 

If you can't turn off the microwave function (and sadly, there are even some ovens which have a button for it but still use microwaves when it is selected), there is no way you can bake cakes with it. You need another oven for any dough then, your options start with toaster ovens at ca. 50 Euros.