Hi Shaunie and welcome to the Q&A Board.
When FP creates a gallery it basically creates a thumbnail page with links going to the large image the thumb is based on. The larger image opens in the browser but doesn't have an actual page that it resides on within the FP web.
For what it's worth the FP gallery component is easy to use but it is very limited.
To do what I believe you're asking you would have to place the larger image on it's own page with the link you want. Then build your thumbnail page and create the links manually. My suggestion would be to use something like
JAlbum Photo Gallery Software to accomplish your album creation which will facilitate your adding links to the pages. JAlbum provides a number of "skins" so you can select a particular look and if you want to spend a little time with it you can even integrate the look with your current site. There are other scripts and software out there (many free, as is JAlbum) but it's the best one I've come across.
$.02
