In my post last year, I shared some code that looks for files with a .lnk extension with the same name before the extension as the image file.
e.g.: image.png, my code looks for another file image.lnk
for each image that has a corresponding .lnk file, the .lnk file is read and the URL in the file is used to turn the whole image into a hyperlink, using functionality already present in Nivo Slider.
It only checks for LNK files if the config setting to get image captions from text files is set. There is no way to enter the links in through the UI, as this file based system works well enough for my needs.
I just updated my Gadget.php with the 1.0.6 changes.
A working example can be seen at http://www.cbreurope.sk (square images in middle of homepage, change every 5 seconds, right now I think there are just two, but it should give you the idea).
My Gadget.php can be downloaded: http://www.freedomlives.net/files/nivo_links_1.0.6.zip
I'm not a professional programmer. I imagine it wouldn't be a good idea to allow an untrusted individual access to upload these .lnk files in case there is some way to cause a buffer overflow, but I guess that risk is already there with allowing the .txt file captions.