Caption Slideshow and Link from Slideshow

i just making the slideshow, but there are a text : You can add captions too…
how to rename the caption? or remove it?
and in the other websites, if we click the slideshow, we will going to the web page. how to add the link in the slideshow, so they can going to the thread just click the slideshow.

this is the tutorial (if you want) : click here