Woeful setting for grand part of requiem (5)
I believe the answer is:
dirge
'part of requiem' is the definition.
(a dirge might be part of a requiem)
'woeful setting for grand' is the wordplay.
'woeful' becomes 'dire'.
'setting for' means one lot of letters goes inside another.
'grand' becomes 'g' (G is short for grand as in a thousand).
'dire' going around 'g' is 'DIRGE'.
(Other definitions for dirge that I've seen before include "A slow mournful song, lament for the dead" , "No joy in this music" , "feature of funeral" , "Dreary song" , "Lamentation" .)