Have you tried the Grid Index Features tool (new at 10.0)? If you select the option to Use Page Unit and Scale you could specify a scale of 1:2500 and then define the size you want the grid in page units when at that scale (i.e. 20 cm x 20 cm). Here is a link to the help topic for this tool: http://help.arcgis.com/en/arcgisdesktop/10.0/help/index.html#//00700000000q000000
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