Hi,
Please make sure to enable Redirect to URL option first. You can do that the following way:
1. In case you have the latest version of the plugin, navigate to Photo Gallery > Options page, and set Image Click Action option to Redirect to URL from Lightbox tab.
2. If the version of Photo Gallery on your site is older than 1.4.0 (Free) / 2.4.0 (Premium), set Image Click Action to Redirect to URL from Thumbnail Options tab of Photo Gallery Options > Shortcode Defaults page.
Afterwards open the gallery, where you wish to add URLs and provide the necessary links in Redirect to URL field, which should appear under Alt/Title input.
Lastly, when you insert your gallery into a page or post, make sure Image Click Action option is set to Redirect to URL in shortcode toolbox as well.
Thanks! Have a great day!