Hi Alwin,
After you copy and paste the image from SnagIt to Axure...
If you want the whole image to link, you can select the image and in the Interactions section on the right, click Quick Link.
If you only want a region of the image to link, you can place an image map region widget over the image and size it appropriately. Then, add the link to the image map region.
Here is an article on interactions that can help get you started.
http://www.axure.com/p101_3.aspx