What is grace to a catholic?
Is it Gods favor which is given freely whether deserved or not?
Is it some sort of ethereal substance?
—What is grace to a catholic?—
The traditional, short answer, is “a share in the Life of God.”
Personally, I find this definition to be very abstract, so here is a link to a lengthier explanation from Catholic Answers:
http://www.catholic.com/tracts/grace-what-it-is-and-what-it-does
There are numerous references to grace in the Catechism of the Catholic Church (CCC).
—Is it Gods favor which is given freely whether deserved or not?—
Grace is a free gift from God that we can reject.
But you have asked a “complex question,” or two questions, which are, Is grace God’s favor, freely given? Or, What is Grace? and How are we saved?
Both are very big questions that defy brief explanations. The old Catholic Encyclopaedia has the best brief treatment of the topic of Salvation that I’ve found:
http://www.newadvent.org/cathen/13407a.htm
—Is it some sort of ethereal substance?—
See above.