Seems that you want an edit feature and this is easily achievable using the default Edit of Mendix. So if you double click on any of the record , that specific object can be opened in a page (or whatever logic you’ve triggered on the double click)
An Edit or your own custom logic to open page with that specific record may be more suited.
NOTE – when you set a button of Control bar of data grid to IsDefault → true, that button click is triggered on double click of an object
Hope this helps!
Adding Hyperlink in Datagrid is not possible as far as I know. But, You can do that in Datagrid2 using its Custom Content feature in which any widget can be used.
You can refer this for more details https://docs.mendix.com/appstore/modules/data-grid-2
Radhika's option is the best if you would like to edit the object in a new page.
If you want to open an external web page by clicking a data grid row you could add an action button to the data grid with an ‘open link’ on click event. You can assign a static URL or even use an attribute. Then you set this button to be the default button of the data grid and alter the data grid settings to use a single click as the default button trigger.
If you do not want to show this button, you can use styling options to hide it.