If in a page, hover over the image and click. Next click on the pencil icon. At “Link to” select “media file”. To label the image, enter a caption. If you want the media file to open in a new tab, click the Advanced Options and check the “open in a new tab” box. Update the Image Details screen. Finally update the page. For the Image widget, go to Appearance -> Widgets -> Image: and click on the image. Follow the steps similar to above.