The link is added in /includes/templates/template_default/templates/ tpl_modules_main_product_image.php. The part of the file that does the work is:

Code:
<div id="productMainImage" class="centeredContent back">
<script language="javascript" type="text/javascript">//<!--
document.write('<?php echo '<a href="javascript:popupWindow(\\\'' . zen_href_link(FILENAME_POPUP_IMAGE, 'pID=' . $_GET['products_id']) . '\\\')">' . zen_image($products_image_medium, addslashes($products_name), MEDIUM_IMAGE_WIDTH, MEDIUM_IMAGE_HEIGHT) . '<br /><span class="imgLink">' . TEXT_CLICK_TO_ENLARGE . '</span></a>'; ?>');
//--></script>
<noscript>
<?php
  echo '<a href="' . zen_href_link(FILENAME_POPUP_IMAGE, 'pID=' . $_GET['products_id']) . '" target="_blank">' . zen_image($products_image_medium, $products_name, MEDIUM_IMAGE_WIDTH, MEDIUM_IMAGE_HEIGHT) . '<br /><span class="imgLink">' . TEXT_CLICK_TO_ENLARGE . '</span></a>';
?>
</noscript>
</div>
* If you have not already done so, set up your own template directory and copy the file into it before editing anything!! Check the FAQs for info on custom templates. *

Delete large parts of this to leave only:

Code:
 
<div id="productMainImage" class="centeredContent back">

<?php 
  echo zen_image($products_image_medium, $products_name, MEDIUM_IMAGE_WIDTH, MEDIUM_IMAGE_HEIGHT) ;
?>

</div>
Normally I would suggest to comment out the unwanted parts in case you decide later that you want them after all; but in this case with PHP, HTML and Javascript so intertwined that becomes a nightmare.

I do highly recommend that you save a copy (tpl_modules_main_product_image-original.php) for reference. The -original will keep it from being noticed by Zen Cart.