Ok I see what you mean, it doesnt create a separate page, but opens up the image in the whole window, but you can treat it as its own page. When you upload an image you have options to select what you use as a link for it right now you have selected to link to the image itself.
If you click on link to NONE the image will not open in a new window. See attached. This might be the older layout of WP but the functionality show be the same
