It is obvious that the answers you have received are from people that do not understand what that equipment grounding conductor does, how electrical grounding works, or what the National Electrical Code requires for equipment grounding.
If your house has a wiring system of Type NM Cable ("rope" or Romex - Romex is actually a brand name, like XEROX), and it is an older home, you may have an ungrounded system. If so, there is no point in bonding this green (other times bare copper) equipment grounding jumper to anything. There is no path for any fault current to run on, so it will simply be there, doing nothing.
If your house has a metal raceway system, or is wired with Type AC Cable (commonly called "BX", another brand name), you need only connect this wire (bond it) to the metallic box using either a GREEN 10-32 grounding screw, or a listed GREEN grounding clip. If the connections between raceway sections are tight, that is the fault current path back to your panel.
Simply connecting an equipment grounding conductor to a metal water pipe will not provide any type of protection. The Code clearly states that the earth shall not be used as a grounding path or conductor to clear faults; there is simply too much resistance.
Ground rods, Ufer Grounds, metallic water lines are used as "Earthing Paths", in the words of the newest Code (2008 NEC) simply as a means of attempting to disperse voltage spikes or surges caused by lightning or contact between your overhead service drop and a conductor of a higher voltage.
That is why the Code does not allow replacing 2-slot, ungrounded, receptacles with 3-slot, grounded receptacles, unless certain other conditions are met. Having the third hole, for the Grounding connection of an appliance cord is misleading. There is no way to provide an equipment ground, so the equipment may be damaged without the knowledge of the owner. It is safer to know that this equipment ground does not exist, than to rely on a ground path that does not exist.
I now yield the soap box to anyone who wishes to attempt to contradict me using anything they think they have found in the NEC.
ICC Certified Residential & Commercial Electrical Inspector; 2005 & 2008 NEC; Licensed Electrical Contractor; Municipal Building Safety Official & Inspector; Proud member of the International Association of Electrical Inspectors; NEC & IRC Instructor; Student of all Building Codes; Certified Member International Code Council