As it stands there seems to be no way to insert a link inside a caption/image inserted using the media uploader.
If you struggle with distinctions between ' and " then you can trick the inserter into not filtering out your link, but then switching between the visual and code editors erases the link again, leaving just incoherent text that assumes the presence of the deleted link.
This is a HUGE oversight in the media uploader. Links to the source of an image (esp. open content like Creative Commons images from Flickr) are one of the most common and important use-cases for captions.
Making links of all types work inside captions should be a high priority.