In your gridview design add a template field with a hyperlink
<asp:templatefield headertext="Download" xmlns:asp="#unknown">
<itemtemplate>
<asp:hyperlink id="hlDownload" runat="server">
NavigateUrl='<%# "~/Downloads"+Eval("FileName") %>'
Text="Download" Target='<%# "_blank" %>'></asp:hyperlink>
</itemtemplate>
</asp:templatefield>
Then you can bind the data with a field name 'FileName' to the gridview