\documentclass{article}
\usepackage{graphicx}
\usepackage{hyperref}
\begin{document}
\begin{figure}
\href{http://commons.wikimedia.org/wiki/File:Pachydyptes_ponderosus.jpg}
{\includegraphics[width=\textwidth]{picture}}
\caption{A reconstruction of New Zealand Giant Penguins (\emph{pachydyptes ponderosus}) by
F.~W.~Kuhnert (1865--1926). Click on the image to visit the page on Wikimedia Commons where it
was downloaded from.}
\end{figure}
\end{document}
This is the correct code. But it becomes black image. Is there any problem
.texfile and named itpicture.jpg. All the\hrefcommand does is create a hyperlink to the image on the web. Try the technique in the accepted answer there (withwget) to download the image automatically. – Torbjørn T. Jul 23 '15 at 08:45