Okay, that's the caption for the image. You shouldn't be links in captions. Those are meant to be very brief, like one or two sentences, and captions are not bb code enabled which means you can't add links to them.
If you want to add additional information to an image, then add a comment below the image. Once the image is entered, go into the full view of it (which is what you linked to just above this post) and scroll down to where you can post a full comment about the image.
I hope that's clear.