Dynamically add a hyperlink column to the front of a dynamically created datagrid

Hello there!
I've got a datagrid I've dynamically created from a sproc.  Note I autogenerate the columns from a dataset (this may be a bad thing).  I want to either:
1) Add a hyperlink column in front of all other columns. The data in the 1st column of the datagrid will form part of the url for the new hyperlink column.  (Am I making myself clear???)

-- or --

2) Change the first column of the datagrid to be a hyperlink column using it's own data as the url.

So in either case the new hyperlink column will have a url that reads (as an example): job.aspx?id=343  (343 coming from the 1st column of the dataset).
I've tried a few techniques but I'm stuck.  I've tried adding a column and then using the grid's itemdatabound event.
Existing code is below, I've left in some of my awful attempts but commented these out.
If you check the Lookup.RetrieveIE line, all that does is return a dataset.  Of course behind the scenes it dynamically builds the select statement to query the database to put the results into a dataset.

Please keep in mind that I need to have paging and sorting on the datagrid.  Sorting, of which, I haven't been able to get to work properly.  If you could include the code for that I would appreciate it!
Thankyou in advance
Adrian
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Dim dr As DataSet
Private Sub CreateGrid()
        Dim Lookup As New cLookup
           
            dr = Lookup.RetrieveIE(Request("JobID"))

' some formatting of the datagrid
        Me.dgIEOutput.BorderWidth = Unit.Pixel(2)
        dgIEOutput.CellPadding = 2
        dgIEOutput.GridLines = GridLines.Both
        dgIEOutput.BorderColor = Color.Black
        dgIEOutput.ShowHeader = True

        Me.dgIEOutput.AllowPaging = True
        Me.dgIEOutput.PagerStyle.Mode = PagerMode.NumericPages
        Me.dgIEOutput.AllowSorting = True
        'Me.dgIEOutput.Columns.Add(column)
        Dim dv As DataView = New DataView(dr.Tables(0))
        ' dv.Sort = "Name"

' the following is some poor attempts to add a column at the front
'dr.Tables(0).Columns.Add("Try")
        'Dim datagridcol = New HyperLinkColumn
        'datagridcol.HeaderText = "Add as Group"
        'datagridcol.DataNavigateUrlFormatString = "<a href='Job.aspx'>do it now</a>"
        'datagridcol.text = "<a href='JobGroup.aspx'>do it now</a>"
        'datagridcol.SortExpression = dr.GetName(iCol).ToString() & " DESC"


        'dr.Tables(0).Columns.Add(New DataColumn("IntegerValue", GetType(Integer)))
        'dr.Tables(0).Columns.Add(New DataColumn("StringValue", GetType(String)))

        'Dim hc1 As New HyperLinkColumn
        'hc1.DataTextField = "StringValue"
        'hc1.DataTextFormatString = "Show details for {0}"
        'hc1.DataNavigateUrlField = "IntegerValue"
        'hc1.DataNavigateUrlFormatString = "details.aspx?ID={0}"
        'hc1.HeaderText = "Show me more"

        'dgIEOutput.Columns.AddAt(0, datagridcol)
        'dgIEOutput.AutoGenerateColumns = True
        BindData()
        'Dim i As Integer
        'For i = 0 To dr.Tables(0).Rows.Count - 1
        '    dr.Tables(0).Rows(i).Item(0) = "sgdf"
        '    '    '    datagridcol.DataNavigateUrlFormatString = "JobGroup.aspx"
        'Next
end sub

Private Sub BindData()
        Me.dgIEOutput.DataSource = dr
        Me.dgIEOutput.DataBind()
    End Sub

'''''''''''' Here is the code I was using for the ItemDataBound event:
Private Sub dgIEOutput_ItemDataBound(ByVal sender As Object, ByVal e As System.Web.UI.WebControls.DataGridItemEventArgs) Handles dgIEOutput.ItemDataBound
        'Dim hypcol As HyperLinkColumn

        'hypcol = dgIEOutput.Columns(1)
        'hypcol.DataNavigateUrlFormatString = "JobGroup.aspx"
    End Sub