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[pols1337]

I'm not sure if this should be a plug-in or if it should be directly included in Coppermine, but this was an excellent suggestion brought forth by one of the fellow administrators on my Coppermine Gallery.  He suggested that, during mouseover of the intermediate picture, a magnifier icon should appear to inform users that they can view the full size picture. 

Also, underneath the picture, the intermediate page should include the words "Click image to view full size." 

See screenshot for potential enhancements.   

[Jeff Bailey]

You can use CSS to change the cursor. Just add the style to your custom themes style.css.
I wouldn't recommend this as it can be quite annoying to the user when a websites changes their computers default actions.

You can add the text "Click image to view full size" in your custom themes theme.php
http://documentation.coppermine-gallery.net/en/theme_theme_php.htm#theme_create_theme_display_image

Personally I think the default link cursor is enough to inform the user you can click on the image.