Nice simple one this...
Added a photo earlier and wanted the photo to link to a website instead of to the blog media page.
It's very easy and only needs one change in code, it should even work with images you're importing from another site as well rather than uploading.
When you upload it it gives you this as the begining of the code:
a href='http://www.blog.co.uk/srv/media/media_item.php?item_ID=397422'
So all I did was replace the link with the one from the site I wanted the image to link to...
a href='http://www.hammacher.com/publish/72824.asp'
TA-DA!!!! 
