Topic: link in captions

i have this link on my last image to link back to a projects page, but it doesn't seems to work. this is how i have it on the last image:
  <caption><![CDATA[<font size="20">Please click "<u><a href="projects.html">PROJECTS</a></u>" on the <br>main menu to continue viewing  projects. </font>
]]> </caption>

please let me know if i am missing anything .. thanks