As always we can recommend you to first use the designer in order to create the desired feature and only then to try and recreate it programmatically on your own.
In your case the code will look like this:
Telerik.Reporting.NavigateToUrlAction navigateToUrlAction1 = new Telerik.Reporting.NavigateToUrlAction();
Wrap the code abave in a user function
which will help you check if the action is needed. Then set the action of the item desired with binding
the Telerik team
Have you tried the new visualization options in Telerik Reporting Q1 2013? You can get them from your account.