I am having the same problem I think. I have added URL's for the slides to link to but they are instead linking to:
website.co.uk/?slide=slide-name
Which just gives a 404 page not found
Any suggestions?
(I am using 1.5.1)
Edited to add:
I just ran the W3 HTML Validator on the page and realised the slides are being given multiple anchor tags, the first anchor which I have set on the settings page, then within that the default anchor, like so:
<a href="http://mywebsite.co.uk/category/mycategory/" title="ATitle"><a href="http://mywebsite.co.uk/?slide=name" title="ATitle"><img width="980" height="283" src="http://mywebsite.co.uk/wp-content/uploads/2012/12/myimage1.jpg" class="attachment-featured-slide wp-post-image" alt="ATitle" title="ATitle" /></a></a>
I am going to delete the slides and add them again, see if that fixes the problem.