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<ASP:DATAGRID id="customers_grid" runat="server" autogeneratecolumns="False">
<Columns>
<asp:TemplateColumn>
<HeaderTemplate>
<A href='?SortBy=CustName' target='_self'>Customer</A>
</HeaderTemplate>
<ItemTemplate>
<A href='<%#"?ACTProg=CustomerList&ID="+ DataBinder.Eval(Container.DataItem, "CustID")%>'><%#DataBinder.Eval(Container.DataItem, "CustName")%></A>
</ItemTemplate>
</asp:TemplateColumn>
</Columns>
</ASP:DATAGRID>
You'll notice that I've used single quotes within the HTML tags for the links. This is pretty crucial for any of HTML that will include server-side data/calls. Especially in the case of the ItemTemplate above - you would get errors when trying to serve up the page (the double quotes are necessary in the server-side calls).
If you run into any problems/further questions let me know - I learned quite a bit on this topic during my struggles with it last spring. I can sticky you a few good links/resources if you have any interest.