It's no good just saving the image on its own. All you end up with is a picture.
File >> Save for web
This prompts you where to save the image(s) and where to put the html file Phohotshop will produce with the hyperlink information in relation to the images.
You can either save your slices and manually edit them in the web editor of your choice or let Photoshop make the web page with all slices and links in place, then edit that page further in the web editor of your chioce.
The hyperlink is contained within the data that makes up the image and isnt held in the HTML which you have the option of saving with the slices if you want to.
Im using Dreamweaver for my web editing by the way and Im familiar with setting hyperlinks from images using that.
The reason I wanted to do this in the first place was because I'd set up a discusion board on one of my sites and this needed a link adding to its front page which would allow users to go back to the main site.
The discussion board code provides the administrator with a panel from where you can edit the look of the board. I thought that by uploading a new title image I could also use this as a 'return to main site' link, hence the need to have a hyperlink embeded in the image.
I could have found the relevent HTML page in the mass of code that makes up the discussion board (this was all provided by a third party)but I though (initially anyway) that I could avoid this if I had an embeded hypelinked image.
Photoshoip creates an HTML file and the image slices.
It assigns the hyperlink to one of the slices (whichever you selected for the purpose) then it exports the whole lot to a destination folder you choose and creates an HTML file which, in turn, holds the hyperlink web code.
Make a folder on your desktop and call it test.
Choose it when using the File >> Save for web option in Photoshop.
Open the 'Test' folder on your desktop.
You will find your slices in an images folder and an HTML file with the hyperlink code.
Copy the images to where they need to be in your web root and copy the hyperlink and image position code from the HTML file into whichever page you want them to appear.