Hi
@sleepingbutterfly , and welcome to Dementia Talking Point. This is a very supportive community, and you'll get lots of help and advice here.
The best thing is not to keep telling your grandmother your grandfather has died. As you've found out she can't remember the fact so every time she hears the news it's like the first time. If she thinks he is still in hospital, it's best to go along with that, however wrong it feel to be not telling her the truth. We call such untruths 'love lies' round here.
You may find this thread has some useful tips about how to help your grandmother at the moment
Compassionate Communication with the Memory Impaired,
I'm sure others will be along shortly with their experiences. Certainly when my mother keeps asking to go and see her parents who died many years ago (mum is 93) I just make excuses about why we can't go, but assure her that they are fine.