Stefen,
You need to change preference for WebI to HTML, see below
Then EDIT / Modify the WebI document in HTML mode, you will now see additional option for LINKING (see below)
For more info refer to WebI Users Guide
http://help.sap.com/businessobject/product_guides/sbo41/en/sbo41sp5_webi_user_guide_en.pdf
Regards,
Ajay