Add HTML external link in caption

I would like to add external links on every featured image. I’ve read that this option is available in the FAQ section but I can’t get it to work. A tip on where and how to add links would be greatly appreciated.

I’m currently using WordPress 3.4.2 and have the 1.9.6 version of NextGen installed.

http://wordpress.org/extend/plugins/nextgen-gallery/