If you are a beginner, the most effective way is with a good class or a teacher. If you already know the basics of the language, you can do a lot with a good self-study book. There are also a lot of internet sites that present the grammar topics and then give you some exercises to practice. Usually the books present the topics so one topic builds upon the previous topic. If you study alone, you will need to figure out which topics to study in which order. It's not a good idea to study indirect speech, for example, if you don't know how to form the simple past tense.
And to be most effective, you should also have some opportunities to USE the grammar in conversations, oral presentations, etc.