Try this
protected void grdData_RowDataBound(object sender, GridViewRowEventArgs e)
{
if (e.Row.RowType == DataControlRowType.DataRow)
{
HyperLink link = new HyperLink();
link.Text = "This is a link!";
link.NavigateUrl = "Navigate somewhere based on data: " + e.Row.DataItem;
e.Row.Cells[ColumnIndex.Column1].Controls.Add(link);
}
}