Well, I'm still thinking about that one since it's something I plan to do too. I may add the ability automatically, but currently, you need to do it manually by replacing the $liveGrid->build_ajax_table() method with your own method. The method should accept an array of arrayrefs AoA (which will have been built automatically from a selectall_arrayref call or else built manually if you prefer). Loop through the array and add anything you want around the data values. Just remember that what you send must be valid XML. Since XHTML is a subset of XML, this can include XHTML, in this case anchor hrefs. See the docs for build_ajax_table() for details.
I'm afraid I can't be much help in terms of things like fonts and scrollbars -- I wrote the Perl end, not the JavaScript end (except for the make_grid() JavaScript) - all of the other JavaScript is from the folks at openRico and prototype. See their site (the same site as the demo above) and help forum for possible scrollbar fixes. One thing I know is that you probably do *not* want cells that are more than a row deep since that can throw off the scroller.
update One thing you can try wrt the scrollbars is to replace the make_grid() Javascript call with an actual hard-coded XHTML table (with cells containing non-breaking spaces) that will serve as the container for data. To see how this is constructed, read the Rico docs and do view source on the Rico demo. The main thing is to have the grid ID (data_grid in the examples) appear in the ids of the table as shown in the Rico demo.