This will require some custom coding, but here is the general idea you could do. Open up the index.php for your gallery and around line 59 you will see a for loop. This loop is what prints out all the thumbnails. You can see it wraps each thumbnail in an <a> tag. To prevent the lighbox, you would remove the rel attribute. Then you would have to come up with a way to set the href for each image.
This is where the custom part comes in for you to implement. You could for instance put the url in the description field for each image, then use that as the href in the a tag. Something along those lines should get you started.