Display linked images?

Hi,

I’m trying to display the images as links so I can use them for a lightbox gallery. I have searched everywhere but cannot find a way to do this.

From what I’ve read, it seems that the plugin should be doing this automatically, right? Currently, the markup structure is:

<li><img src="my-image.jpg" /></li>

http://ww.wp.xz.cn/plugins/wordpress-media-tags/