I don't believe this is possible. I believe this is because the grammar checker relies on correct (or ignored) spelling to do it's work.
You can mark words that are in English as English and use both English and French dictionaries at the same time. That sounds like a royal pain if the English is mixed in a word at a time in the French text. There is a trick that can make it faster.
- Create a macro that sets the language to English
- Assign the macro to a keyboard shortcut (Ctrl+1 for example)
- Save the macro and shortcut in the normal.dot template so it's available for all documents
To use the macro
- Select the English text
- Press the keyboard shortcut
Combine this with both English and French dictionaries and you should be able to do a full spelling and grammar check on the document.