I know this is an old post but I am tired of seeing people put information out here that is just totally wrong and dumb.
Build the hyperlink dynamically in your SELECT query be it a pass through or stored procedure and return it to your grid as a field:
SELECT '<a href=''myPage.aspx?Field1=' + dbField1 + '&Field2=' + dbField2 + '''>I will go to this page with args</a>' As myLink
FROM myTable
ORDER BY whatever
This is setup for a stored procedure using single tick marks for quotes. If you do a pass through query you will need to modify the tick marks a little with double quotes.
Put the data >> myLink << in a cell in your Grid. It will be a hyperlink. When you click on it you will travel.