You can do it directly in the grid itself by combining a HyperLinkField with a DataNavigateUrlField:
<asp:GridView ID="myGridView" runat="server">
<Columns>
<asp:HyperLinkField HeaderText="My ID Column" DataTextField="MY_ID_FIELD" DataNavigateUrlFields="MY_ID_FIELD" DataNavigateUrlFormatString="~/myRedirectPage.aspx?ID={0}" />
</Columns>
</asp:GridView>