Just figured this out as well so here is what i did.
First go to your image in the media library and edit it. There should be some fields on the page labeled "Caption" and "Alternate text".
I added html for a link in the Caption box like this: LinkText
Then add the LinkText to the Alternate text box for consistancy and save your image in the media library.
Next go back to the slider plugin and go back into the slider group you created to be sure the image is attached to one of your slides. You will need to re-save the slider group to apply the changes.
After that you will notice a link in the lower left side of the caption area in the slider plugin.
Hope this helps,