One way:

Use the freeform tool to add a line down the side that you want the
connector point
Right Click  > edit points and add point at the connection site
You can set the line to 99% transparent to hide it
Attach the arrow and then group the picture and freeform

To expand a little on John's method...

In PPT 2007 you can add connector points in the manner he described -- by
adding them to a freeform. You can also convert shapes to freeforms and then
add points to those in that same way as opposed to having to draw the line
or shape using the freeform tool. (I think the ability to convert shapes to
freeforms is very cool.)

So, insert a shape -- a line or rectangle to match the size of the picture.
Select it, and on the Drawing Tools Format tab, click Edit Shape | Convert
to Freeform. Then Edit Shape | Edit Points and right-click to add a point
where you want the connector point. Now when you drag the line or connector
near that shape, the connector points will all highlight.

Unfortunately, you can't convert pictures to freeforms directly. But here's
a way you can get even closer.

Insert a rectangle shape, then go to Drawing Tools Format tab | Shape Fill |
Picture and insert your picture.

Then Drawing Tools Format tab | Edit Shape | Convert to Freeform.

Then Edit Shape | Edit Points.

Right-click and add the connector point.