Changing iTunes link behavior
From Mac Guides
iTunes displays a small arrow next to each artist, album or song in your library. The default behavior of this arrow is to take you to that song in the iTunes Music Store. This, however, may not be the desired default behavior.
defaults write com.apple.iTunes invertStoreLinks -bool YES
This will permanently set the link arrow to point to your library, rather than the music store.
defaults write com.apple.iTunes invertStoreLinks -bool NO
Restart iTunes to make this take effect.
Like many operations in Mac OS X, holding down the option key will invoke alternate behavior. In this case, it simply takes you to your personal music collection rather than the library. Additionally, if the above permanent solution is performed, the option key will take you to the iTunes Music Store.