When clicked this button will open a small window like the one below.  Enter a URL in the filed and if a users clicks on that image while it is in the preview area, a new window will open displaying that URL.  This could be used for ecommerce sites where each image was linked to a different product on the site.

 

In order for this feature to work correctly, the "Open Full Image on Click" MUST be checked under the Gallery Settings tab in the main program window.  If the option is not checked, linking will be disabled in the preview image.