Set the AutoGeneratedColumns property of gridview to false and then in itemtemplate field add your link with a href.
<asp:gridview id="gridview1" runat="server" autogeneratedcolumns="false">
<columns>
<templatefield headertext="">
<itemtemplate>
<a href="your link">Name of link</a>
</itemtemplate>
</templatefield>
</columns>
</asp:gridview>
In ItemTemplate you can also place hyperlink, linkbutton or any controls as per your requirements.
Good luck.