You can do so by using a template grid for example.
Does that work for you?
As Michiel said, if you want to make a single column value a link then you’ll need to use a different grid like a template grid, but if you just want to have an action when someone clicks on a row in the data grid then you need to set the grid to single selection mode, set the default button trigger to single click and add a default button to the control bar with the action you want.