How will you get the URL for the hyperlink to use?
If it is coming from a database or whatever datasource you are using you can use a templete column like this :
Code:
<Columns>
....
<asp:TemplateColumn>
<HeaderTemplate>
HeaderText
</HeaderTemplate>
<ItemTemplate>
<asp:HyperLink ID="hyperlink1" Runat=server text="link" NavigateUrl='<%# databinder.eval(container,"dataitem.urltext") %>'></asp:HyperLink>
</itemTemplate>
</asp:TemplateColumn>
....
</columns>
Where urltext is the field in your datasource containing the url.