Hi jokefish!
First off, as far as I know, the Joomla AnythingSlider plugin uses a very old version of AnythingSlider, so if you are using it I’m not sure how to update the version or the plugin… I know nothing about Joomla.
The latest version of AnythingSlider can always be obtained here.
You should be able to just add a link inside of the panel without any problems – check out this demo… I’m not sure if it’ll work properly in older versions; it’s been a while since I looked.
There are a lot more demos and information in the wiki documentation.
I hope something I shared here helped!