you could use a tooltip for that column and create a tooltip page with a download link?
You could try this: Datagrid with Selection "No Selection", Default Button Trigger "Single Click" add a Microflow Action (default button) which in CSS you can visually hide. Behind this button you add a microflow that downloads the file.
This however limits other usages of the datagrid.
Edit: If it is an external link you want to open: let the microflow open a popup page with the "URL redirector" widget on it and a the "Microflow Timer Widget" (which calls a microflow that closes that Mendix Popup page). I'm not sure if these widgets still work in 6.+
With kind regards, Stephan
use widget for Grid-extension from appstore and add a button to the line with a MF that opens it