I've seen this link posted on some forums to one of our images

http://www.spoilertv.co.uk/images/albums/fringe/season-3/Set%20Photos/6th%20April%202011/fly1003822fringe015.jpg

I've getup my site so that it should redirect them to the Image Page.

See my settings here
http://i56.tinypic.com/142zurp.png

What am I doing wrong

Nothing, because you can't do real hotlinking protection via Zenphoto. If you access the file directly Zenphoto is not involved! That should probably be mentioned there...

You have to setup a proper htaccess protection on your server and set the proper permissions as well. See: http://www.zenphoto.org/2009/03/troubleshooting-zenphoto/#39

Ah, I see, thanks. Yes the text on the Admin page was a bit confusing.