What I found to be working is adding a hyperlink column. Just put ie 'link' in text and chose as data colum a valid url. To show the actual url and get an onclick action on it you'll have to to some javascript.
Example
Use following sql as datasource and have grid show computername in one column and the 'link'-link in another
select name,'http://server/Altiris/Console/Dashboard/DashboardView.aspx?ResourceGuid='+ convert(varchar(36),Guid) as link from vComputer