If you do not have the title field or picture description field free to put the link in, you need to first create a custom field for the link info. For that you need the SVN version of MaxiGallery:
http://modxcms.com/forums/index.php/topic,24600.0.html
Then there are couple of ways you can do it, it depends on how you are displaying your big image, is it in a slimbox or in a new browser window or what. You need to modify what ever template you are using to show the link info from the custom field.
If you are opening the big picture on a new window, you need to first create a site template for the big picture page, then create a document that is used to show the big pictures. In that document, have a maxigallery call where you have a custom pictureTpl what shows the big picture, eg. filename placeholder prefixed with "big_" and the link information from the custom field. Then in the gallery document, create a custom pictureTpl and change the link that points to the big picture to point to the document that you are using to show the big pictures, eg. <a href="[~idofthedocument~]?pic=[+maxigallery.picture.id+]"...