You sure can. Just add the link attribute in the media-credit shortcode, found in HTML view for a post, or directly when adding an image. For example, if your post contains:
[[media-credit name="Artist" align="alignleft" width="300"]]<img src="http://www.mysite.com/files/2010/09/image.jpg" width="300" height="450" class="size-300 wp-image-2" />[/media-credit]
change it to:
[[media-credit name="Artist" link="http://www.artistwebsite.com" align="alignleft" width="300"]]<img src="http://www.mysite.com/files/2010/09/image.jpg" width="300" height="450" class="size-300 wp-image-2" />[/media-credit]
Note the link to http://www.artistwebsite.com
above.