can the conjugate gradient method (iterative solver) be applied to unstructured grids ,

i wish to use it to calculate pressure correction on unstructured grid. any suggestion

Yes you can use a conjugate-gradient method on unstructured grids. If you use a Jacobi preconditioner then you can use this method without creating the sparse matrix as you only use information from a cell and its immediate neighbours.

Try checking out "Templates for the Solution of Linear Systems: Building Blocks for Iterative Methods". It's available for free on web as does a good job explaining the conjugate-gradient methods.