When you attach a link to your fan page, Facebook makes it an indirect link, but if you write the raw link in your status (not attached) it becomes a direct link.

See examples 1 and 2 here http://www.insidefacebook.com/2009/07/13/seo-facebook-pages-10-key-strategies/

Also, make sure to take the time to add a “Like” button to your web site.  Stats prove there is an increase in traffic (now, go convert them):  http://www.insidefacebook.com/2010/05/05/some-early-data-shows-facebook-plugins-increasing-sites-traffic/

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