you could also do it on the client side, assume your DataGrid's id is "MyDataGrid", try:
<script language="javascript">
function MyDataGrid.onclick()
{
var src = event.srcElement;
while (src != this && src.tagName != "TR")
src = src.parentElement;
if (src != this)
{
alert(src.cells[1].innerText); //second column, change to other columns if you want
}
}
</script>