Thanks for the reply….
Here’s what I tried:
I uploaded the picture & inserted it into the Page.
I uploaded the PDF using the Add Media button.
The PDF resides in the /yourdomain.com/test/wp-content/uploads/2011/02/test.pdf
When I Edit the image thumbnail, I put the link into Link URL associated with the thumbnail, I click UPDATE. I then click UPDATE in the Publish area. If I then Edit the image and have a look at the Link URL, WordPress has put it back to https://yourdomain.com/test/?attachment_id=220 and my change to the Link URL is lost.