Gallery images linking to pages

When I insert individual images I am able to set a link to another page once this image has been clicked. However when I insert a group of images in a gallery, I'm not able to set a link for each image once that image has been clicked. Instead each time the image is clicked it takes the user to the image.

I want to create a product section where each category is represented by a picture and once you click on a picture you got directed the that category page. I'm currently using the GridMarket 1.3.5 theme.

Thanks!