There are two ways. You can create HyperLinkField or add a Hyperlink in <asp:templatefield >
Ex.
<Columns>
<asp:HyperLinkField DataTextField="LeadID" DataNavigateUrlFields="LeadID" DataNavigateUrlFormatString="LeadInformation.aspx?LeadID={0}" Text="Lead ID" />
<asp:BoundField DataField="DateTime" HeaderText="Date Updated" />
<asp:TemplateField>
<ItemTemplate>
<asp:HyperLink ID="HyperLink1" runat="server" NavigateUrl='<%# Bind("LeadID") + Request.QueryString("type") %>'
Text=""></asp:HyperLink>
</ItemTemplate>
</asp:TemplateField>
</Columns>
>