In my test, you could use the InitializeRow server side event handler in order to attach the onclick client side event handler and set the hyperlink to # in order to acachieve the scenario you wanted. You will still need to set the column type as hyperlink. Here is the snippet for InitializeRow server side event handler:

protected void wgTest_InitializeRow(object sender, RowEventArgs e)
{
    if (e.Row.Type == RowType.Record)
    {
        e.Row.Cells.GetNamedItem("Link").CustomObjectAttributes = "onclick=\"alert('link click');\" href=\"#\" target=\"_self\"";
    }
}

This only partially worked for me. The link is on a grid in a modal dialog. When the link opens, everything is fine (it links to another modal window). When I exit the modal window, a browser window opens up saying IIS 7.5 Detailed Error - 404.0 Not found.

Please help...

I figured it out. The problem was that it was still trying to act like a hyperlink because there was no value being returned from the function. So in the CustomObjectAttributes where you have onclick="javascriptfunction();", I added return false; to it like this onclick="javascriptfunction(); return false;". Returning false, seems to prevent any more from taking place.