How do I add an anchor to a boundcolumn?

[jm]

I have a simple DataGrid and on one of the asp:boundcolumn tags I want
to underline with a link everything in that column. From that link I
will then open a page. How do I add a link around the boundcoulumn?
I tried a regular anchor tag, but got an error about it not being part
of the DataGrid control.

I am still migrating from old ASP to .NET, so forgive my ignorance. I
have searched to no avail. Thank you.

Fails:

<a href="http://mysite.aspx?test=hello"><asp:boundcolumn ....></a>