Preheat the grill to a medium-high heat.
Brush the salmon fillets with olive oil, and season both sides with salt and pepper.
Place the salmon on the grill, skin-side down.
Cook for 6-7 minutes on each side or until the salmon easily flakes with a fork.
While the salmon is grilling, prepare the caper sauce.
In a bowl, combine capers, lemon juice, dill, olive oil, garlic, and Greek yogurt.
Mix until well combined. Adjust salt to taste if needed.
Once the salmon is grilled, transfer it to a serving plate.
Generously drizzle the caper sauce over the grilled salmon fillets.