I have recently installed this mod on one of my sites as well Kona, and I to am having the same problem.
The link is suppose to go in with the description of the image when your adding it to admin. This is how it works in version 1 of the mod anyway. I had that added when I first added this mod to another of my sites last October, and the link simply went in with the description box, and links from inside when the window pops up when clicking on the thumbnail.
However, my link is showing up on the actual gallery page at the moment and not in the popup window. The link is the one opening the popup window, and the thumbnail image doesn't open anything.
Not how it's suppose to work
I have written the author tho to have this fixed and I recommend you try the same thing.