Translation:My grandmother died the day before yesterday.
“To die” is しぬ, which can be used but is a little bit impolite. The past tense of that is しにましあた. More polite (and usually used when talking about somebody that you liked dying is the verb なくなる, which means something along the lines of “to pass away”. The past tense of that is なくなりました. The sentence “そぼがしにました” would be rarely used, considering the politeness level most people use when talking about their grandparents. Overall, use both しぬ and なくなる (しにました and なくなりました in the past tense) but know when to use each one.
I think the course creators wanted you to be aware that you use different words for talking about someone else's grandmother and talking about your own. You would not use "sobo" to refer to someone else's grandmother, or obaasan to refer to your own. (Although you might call your grandmother directly "obaasan" or alternatively "obaachan.") You use "humble" words for your family members, and more "polite" terms indicating a more elevated status for others' family members. It's good to be aware of this from the start.