Please check the linkURL entries in your gallery's XML file.
The 'Open Image' button opens the corresponding linkURLs. In order for the images to be used, the linkURLs must either be the same as the imageURLs or empty (in which case Juicebox will use the imageURLs by default).
It sounds like you might currently have the URL to your home page as your linkURLs.

The quickest and easiest way to delete all linkURL entries from a gallery's XML file in a single action would be to use the global search and replace functionality of a text editor.

For example, you could use Notepad++ (free) and do the following:
(1) Open your gallery's XML file in Notepad++
(2) Go to 'Search -> Replace...' from the drop down menu at the top to bring up the 'Replace' window
(3) Select 'Regular Expression' Search Mode
(4) In 'Find what' enter: linkURL=".*?"
(5) In 'Replace with' enter: linkURL=""
(6) Click 'Replace All'
(7) Go to 'File -> Save' to save your file

This will replace all linkURLs (even if the entries are different to one another) with blank/empty linkURLs (and the gallery will automatically use the imageURLs as the linkURLs).

@3dworks

Just deselect the 'Link URL' checkbox in the 'Image Info' control panel (below all the Juicebox configuration options in the 'Appearance' control panel) and the linkURL entries in your gallery's XML file will be empty and Juicebox will use the imageURL entries for the Download Button instead.

Otherwise, you could build up your own linkURL entries by selecting the 'Link URL' checkbox, clicking the text to the right of the 'Link URL' checkbox, selecting 'Edit...' from the drop-down menu and entering something like the following in the text area:

http://www.example.com/gallery/images/{Filename»}.{Filename Extension»}

{Filename»} and {Filename Extension»} can be entered by selecting 'Filename' and 'Filename Extension' respectively from the first combobox in the 'Image Name' section and clicking the 'Insert' button for each one.