I think I have The Answer of my question
I added a DataGridViewLinkColumn to the DataGridView
now the next step will fill the Data into the datagridview
and the File names will appear like links:
private void button1_Click(object sender, EventArgs e)
    {
        string[] SS = new string[3];
        SS[0] = "C:\\test1.txt";
        SS[1] = "C:\\test2.txt";
        for (int i = 0; i < SS.Length; i++)
        {
            dataGridView1.Rows.Add(SS[i]);
        }
        dataGridView1.Refresh();
    }
The Last step :
now I want to open the file when the user click it
I will use the "CellContentClick" event and this code will achieve it:
private void dataGridView1_CellContentClick(object sender, DataGridViewCellEventArgs e)
    {
        string filepath= (string)dataGridView1.Rows[e.RowIndex].Cells[0].Value;
        System.Diagnostics.Process.Start(filepath);
    }