Not rocket science, just put here for my own future reference.

We want to add User Actions to each row of a datagrid.  Using the DevExpress ASPxGridView control, we create a DataColumn and then add a DataItemTemplate to this.

In the code in-front, add the following reference to code-behind:

<p><%#MakeActions(Container.DataItem)%></p>

In the code-behind, the MakeActions method should look something like th

        public string MakeActions(object dataItem)
        {
            StringBuilder sb = new StringBuilder();
            int id = Convert.ToInt32(DataBinder.Eval(dataItem, "ID").ToString());
            sb.Append("<a href=\"" + "Details.aspx?id=" + id.ToString() + "\"><img border=0 alt='Open Record' src='Images/folder_go.png'></a>");
            return sb.ToString();
        }

where DataItem is the bound data object of that row.  Clicking on this item will therefore link to the Details.aspx page, passing through the id on the querystring.