It can be the root, say (if that folder exists):
env.workspace = r"C:\GIS_Data\PGE_MLPP"
...or you can designate, say for example, a file gdb (if it exists as well):
env.workspace = r"C:\GIS_Data\PGE_MLPP\stage.gdb"
EDIT: Just one more thing, what is 'intergrid.shp'? When you set the workspace, remember that is where inputs will be read, and outputs will be written - unless otherwise specified. In other words, your script will look for inFeatures from your workspace and write the result, intersection, there --- which I note, if your workspace is set to a folder, you need to specify a shapefile, intersection.shp.