To add hyperlink to your AxGridView you need to use AxHyperLinkBoundField (msdn: http://msdn.microsoft.com/en-us/library/cc603636(v=AX.50).aspx)
The most important properties are following:
DataSet: Data set (AOT \ Data Sets) from which data are loaded
DataSetView: Table from which data are loaded
DataField: Field name from which data are loaded
MenuItem: Url menu item (AOT \ Web \ Web Menu Items \ Url ) where we have set up url
Example (from Web Form EPSalesTableInfo)