In ur design mode right click on gridview and click on edit columns then add column. there you can find DataGridViewLinkColumn. chose and apply then ok.
and add CellClick event to the grid from Properties pane. There after the code behind code as follows.
private void DgvView_CellClick(object sender, DataGridViewCellEventArgs e)
{
try
{
if (e.ColumnIndex == 0)
{
}
}
catch(Exception e)
{
}
}
// same procedure in vb.net also. so convert into vb.net code.