If you would like to create “Shoppable” feed, where the images in your feed link to other pages on your site rather than back to Instagram, then use this tutorial. Please note that this feature is available in version 2.4 or higher.
1) Check the box on the Customize tab for Link Posts to URL in Caption or use this shortcode setting
3) Display your feed on a page. The lightbox will be disabled and the posts will link to the URL in the caption. See the feed below for an example when clicking on each image: