Fry was always his own grandfather, he just never knew it, him going back to the past to father his father didnt change anything.
think of it this way, our fry's grandfather was future fry, who came back to 1947 to father fry's dad, then went back to the future.
Fry eventually becomes future fry and becomes past fry's and therefore his own grandfather
kapeesh?
Anyway we have covered all this here -->
http://www.peelified.com/cgi-bin/Futurama/3-000330-1/ in the words of Nixorbo
LURK MORE!
(not quite as dramatic with the big letters but same message eh? Dont kill me Nix!)