I made a quick research and found out that you can try following different approaches:
Hope one of the above solutions does what you need :)
Hi, you cannot insert links in to datagrid.
You can use, template grid, make it show only 1 column, then within that column, use layout grid so that you can design it to show like data grid.
Within layout grid you can add links.
If you are really particular about datagrid, you can use NPE and clone all your results of datagrid on it. With additional attribute on datagrid to show links, you can simply show a link. But this approach will have two issues.