If you don’t need it to be a slideshow, you can just add the single image and make that a link. Add a custom text sidebar widget, put in the shortcode for the image, and wrap it in a link.
Otherwise, the images in a slideshow don’t have links. You can try to use a plugin:
NGG Sidebar Widget – This would allow you to put Galleries in your sidebar. The gallery will be represented by an image from the gallery (which you can select). The images would link to the gallery page.
You can create a gallery for each page, and in the “Page links to” option, set it to the page you want it to link to, which doesn’t actually have to be the gallery.
I don’t think this is a slideshow, but, you can show multiple galleries at once (each represented by an image) this way.
This might also be an option:
Sidenails
This shows a list of images in your sidebar that links to latest posts
Otherwise, you would have to dig into the php and javascript that controls the slideshow and use something like the custom fields plugin.
