The grave is located in Cimetiere du Pere Lachaise, in Paris France, Plot: Division 64
Update: I was made aware of an interesting little film staring magician Peter Snow called 'Searching for Melies'. In the film, Mr. Snow locates the grave of Melies while blindfolded. It's a short film and you get a number of good shots of Melies grave.
UPDATE: The photos are courtesy of Carnival of Illusion, aka Roland and Susan Sarlot.