Multi-parameter anonymous types?

Question

I recenty stumbled upon a piece of LINQ code written below

var cons = xdoc.Descendants("xref")
        .Where(x=>x.Attribute("rid").Value.Contains("ref"))
        .GroupBy(x=>x.Parent)
        .Select(grp=> new
                {
                    Parent = grp.Key,
                    ConsecutiveNodes = grp.Select((n, i)=> new
                                                  {
                                                    Index = i+1,
                                                    Node = n
                                                  }),
                    Count = grp.Count()
                })
        .ToList();

 Now I cannot understand the part

.Select(grp=> new
                {
                    Parent = grp.Key,
                    ConsecutiveNodes = grp.Select((n, i)=> new
                                                  {
                                                    Index = i+1,
                                                    Node = n
                                                  }),
                    Count = grp.Count()
                })

 Can anyone break it down for me because I cannot figure it out on my own, there are a lot of new things that I haven't seen before...like an anonymous type inside and anonymous type? and what is the grp.Select((n, i) thing? how does it work?