It may be possible to do this by editing the index page for the type of gallery that you have on the page. In here you could wrap an <a> tag around the thumbnail. There are a couple of problems with this though. If you have a lightbox type of gallery the code for the images is dynamically generated by the js and the link might not be present in the end. The other issue is that if you do get a link in you would need to devise a way to have unique links for each image. This would involve updating the table the images are held in to include a location and name, then updating the PowerGallery admin to insert into these fields. Finally you would need to add some recordset coding to the index page to get these values back and loop through them appropriately. So in the end you could potentially do this but it is very advanced and not a supported feature of the gallery.
What would be an easier thing would be to construct a set of thumbnail images and just make them links statically.