you can follows these steps..
1. Add a TemplateField in the Selected Fields list.
2. Now Right click on the Grid and select Edit Templates. Now drop the
Hyperlink control in the ItemTemplate of the Grid.
3. Now bind the NavigateURL and Text property of the Hyperlink to the
hyperlink column field in the table using Data Bindings.
4. Now if you click on the hyperlink, it will take you to that page.
<asp:hyperlinkfield datatextfield="LeadID" datanavigateurlfields="LeadID" datanavigateurlformatstring="LeadInformation.aspx?LeadID={0}" text="Lead ID" xmlns:asp="#unknown" />