For grand company, you will find that at the start you will be required to go to each nation and try there starting missions first. It bounces around between all grand companies early on. But you will get to a point where it will require you to stick with one grand company, and you will only be able to do the grand company you chose. So find one that your heart is set on while doing those entry level missions, so that you know who you wanna be with the remainder of the game.