Do like this, and if it is a valid url, then the value inside the cell will open up in your default browser.
System.Diagnostics.Process.Start
can start any program or open a file, so if you write the full path of an executable file, you can start that also.
private void dataGridView1_CellContentClick(object sender, DataGridViewCellEventArgs e)
{
if(e.ColumnIndex == 4)
{
System.Diagnostics.Process.Start(dataGridView1[e.ColumnIndex, e.RowIndex].Value.ToString());
}
}