This is a grasshopper nymph, an immature insect. Some insects, such as butterflies, go through a complete metamorphosis. They start as a larva (caterpillar), have a transformation stage (pupa) and wind up as a very different adult (butterfly.)
Other insects, such as the grasshopper, go through an incomplete metamorphosis. The babies look almost like the adult. As the young grow, they shed their skin, just as crabs and other arthropods do. On the last shed as it becomes an adult, the grasshopper will emerge with wings and other adult features.