The easiest way to make a link is when you are viewing your pic in The Gallery go up to the URL (website address) bar on your monitor and highlight it and right-click on your mouse and then click on "Copy".
Then start a post here in the thread. Right click again and then click "Paste"
Hit the Return key to start a new line and type in your caption.
I sounds harder to do than it is!
EDIT: you should see a line that in my signature block which links to My Gallery. I'm not "bright enough" to know how to relabel the URL line. Someone else here can probably teach you that trick!