Add this code to your Grid.php:
$this->addColumn('action',
array(
'header' => Mage::helper('yourmodulename')->__('Action'),
'width' => '100',
'type' => 'action',
'getter' => 'getId',
'actions' => array(
array(
'caption' => Mage::helper('yourmodulename')->__('Edit'),
'url' => array('base'=> '*/*/edit'),
'field' => 'id'
)
),
'filter' => false,
'sortable' => false,
'index' => 'stores',
'is_system' => true,
));
That will build an "Edit" URL with the Id of the selected row as part of the URL. It will look something like <frontname>/<controllername>/edit/id/<value> where value is returned by the getter getId().
The getter field will execute any of the standard Magento magic getters, ie any attribute is gettable. So you could have getName or getProductUrl or getIsLeftHanded if you wanted and your controller can parse the attribute.
The controller can then retrieve that passed value using Mage::app()->getRequest()->getParam('attributename');
In terms of documentation/tutorials, have a read of this article on the website of @AlanStorm as it might help.
HTH,
JD