In the widget settings, there is a "Marker Caption" setting, which lets you set an attribute for your caption. You can actually embed html directly into that caption and have it display as a link. For example, if you set the value of your attribute to :
The caption will have a link with the text "Google". If you do something like this:
<a href="http://www.google.com" target="_blank">Google</a>
then clicking that link should pop up in a new tab/window.
Edit: I've personally tried this and it works. Here's a project package you can import and try yourself.
Eric, thanks. It works. I have to use the advanced module. It now works also in the mobile version!