When you insert the picture on your page, the box where it says "insert in post" has a lot of options above that. One is the URL that the picture should point to. You can change this to whatever URL you want.
If you click on the HTML tab (as opposed to the visual editor tab), you can see how the link is set up. E.g., a basic link would be <img src="yourimage.gif">. You can just replace the "http://yoursite.com
" with whatever URL you want.