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/
More Facebook SEO Tips
- Facebook Fan Pages vs. Groups for Marketing and SEO (fathomseo.com)
- SEO Company Says Get On-Board with Facebook’s Social Search Engine (prweb.com)
- 3 Less Known but Effective Ways to Share Your Facebook Page (searchenginejournal.com)