I've followed the instructions on the web site below, worked for me.

HOW TO INSTALL & SETUP VIEWS SLIDESHOW MODULE ON DRUPAL7?

There is a combination of modules listed on the site HOW TO INSTALL & SETUP VIEWS SLIDESHOW MODULE ON DRUPAL7? that will allow you to do that.

Effectively the modules work together to give you:

• A content type where you can store your banner and the URL
• A view that has some nice JQuery slideshow options for displaying rotating banners that will link to their included URL