I was trying to wrap, the hyperlink value within the <a> tag of html. But the gridview wants us to add hyperlink as a control to the cell. The other approach I was trying is create and add the hyperlink class to the datarow directly (in datatable) and then binding the dataset to the grid, but somehow, the gridview was not displaying the hyperlink column. That was a bit strange to me. But anyways bohunkus, you have given a clean way.
The other thing I was also trying to check is: Get the e.Row.Cells[1].Text's column name. So then, I can check for column name and only then I will add the hyperlink control. This way, I can use the same gridview for other data presentation purpose. Because, I am anyways binding the created dataset to the gridview i.e. programmatically, instead of hard coding the columns.