how to navigate to another page on clicking an image

Your first question, using an image as a link is pretty straight foward. You need to implement a content type which includes an image (not as part of the main body). Depending on exactly what you want you can start with the page or story module and use either the image assist or image attach modules to attach an image(s) to the content. If you want to collect more than just free form text (the body) you could use the CCK module to define the pieces of information you want to collect including the image(s). The next step is to theme the output from your content type. in the case of your example the teaser and full view are themed different. You can do this using the contemplate module or using phptemplate and defining your own tpl.php file for you content type (about phptemplate).

As for you second question, while no6 neccesarily hard it requires you know at least something about PHP and jQuery. The exact answer depends on where the content/images come from, this is meant to serve as a frame work of one way to approach the problem, I would use jQuery (javascript) to do this, if you visit http://gayweddings.com, the top/center story automatically changes from one story to the next and illustrates part of what you are asking. In your case if you are only dealing with images you would for each each output something like

<a href="your link url"><img src="path to image" /></a>

You would probably wrap all the images in a div tag with a css id or class name. Then you could use jQuery to cycle through the link ('a' tags) displaying them one at a time (which will show as a changing image)