If I understand your question, you can use the Hyperlink (globe and chain) icon to create links to your own pages, your documents or another web site. Just highlight the image or text and open the Hyperlink dialog. You can chose to use the current window or open a new one.
If you want to avoid the blue borders on images use the HTML module. Check the Masters Forum (below) to get the code for "image links without borders." Check OfficeLivePages, StudioAllen, Godzdude or arTotems.