Hi,
In our source code repository I have just pushed some changes to update to the latest version of NivoSlider. I have made it use the captions for images in the Image Gallery and I have made the web sized image link to the full size image.
To do something different such as link to something else you would have to implement your own feature. Or to use captions in layout.master you would have to wire up the javascript yourself instead of using <portal:NivoSlider which is merely a convenience control.
Best,
Joe