In general, it depends on what development model do you use – Portal engine or ASPX templates? I will suppose Portal engine. If I am wrong, correct me please.
To create image links, you could use editable text web part and create link inside this web part (using Edit / Insert link button on FCKEditor´s toolbar), or use editable image web part and select requested image. You can put any web part into appropriate web zone in CMSDesk -> Content -> Edit -> Design tab.
If you want place it besides of current image/content/web part, you need to use other web zone and place it besides current web zone. This means you need to change layout of your page. For more info please see http://devnet.kentico.com/docs/devguide/page_layouts.htm