Here is a version I made to quickly show how you can do it with a single poly plane and a transparency map. I am still trying to figure out how to do an AO render because by default the AO ignores transparency so this is just using a directional light and FG.

Forgive the modeling I tossed something that looked similar to what your image together and I was pretty sloppy.

First I created a tileable pattern in PS.

Then there are three renders to help you visualize things. The first is just the single poly plane where the grill will be with a default lambert shader applied.

Then I made a shader (lambert) and applied the tileable texture to the color and in the place2dtexture node I set the u and v repeat to 15 and the rotation to 24. With this render you can see the pattern. The white will be visible and the black areas will be transparent. This is just to visualize what will be masked and the size of the grate.

Then I created another lambert and this one I assigned the tiileable image to the transparency and left everything else alone. Once again set the u and v repeat to 15 and rotation to 24 in the 2d-placement node and left everything else default.

You get the illusion of the grill and it also works with lights as you can see the shadows inside the box.

NOTE: One important thing to remember when using transparency with mental ray. You must go to the file image mode and in the color balance section check luminance is alpha or you'll just get a render with no transparency.