Hello,
This might just be too late a reply but just want to put it out there in the world, as I was also facing this problem.
In order for the Custom Links to work, all you need to do is to Check the Custom Link checkbox. Then click on the individual images and you will see its details open up. You should be able to see the Link to box where you can add the url of the page you want it to link to.
I suppose this should work.