Preheat a gas or charcoal grill. Thread the sausages, red and green bell pepper pieces, and onions alternately onto the skewers. Grill the brochettes until the sausage is cooked through and the vegetables are lightly charred, turning occasionally, about 8 to 12 minutes. Meanwhile, place the polenta squares on the grill and cook until warmed through and marked by the grill, about 2 to 3 minutes per side.
Remove the brochettes and grilled polenta from the grill. With the prongs of a fork, slide the sausages and vegetables from the skewers and serve on top of the grilled polenta squares.
In a heavy medium saucepan, bring the water to a boil over high heat. Stir the polenta and salt into the water, lower the heat to medium-low and simmer, covered, stirring from time to time. Cook until the polenta is cooked through and thickens, about 20 to 25 minutes.
Remove the pan from the heat and stir in the cheese and jalapenos until smooth. Pour the polenta into a lightly oiled, shallow baking dish. Cover tightly with plastic wrap and refrigerate until firm, at least 6 hours and up to 2 days in advance.
Run a knife around the edge of the baking dish and unmold the polenta onto a cutting board. Cut into 3-inch by 3-inch squares and keep cool, wrapped, until ready to grill.