Help linking a URL to a JPG (CS4)

I'm having trouble linking a URL to a banner I have made.
I'm on a MAC using CS4. Have been through lots of simple tutorials all saying the same thing but it's not working.

This is what I have tried:
I created my banner
Saved for web
Selected slice tool, double clicked
Filled in a URL in the URL box
closed slice options
previewed jpg and banner displays and the link works fine.
Saved jpg
Previewed jpg in firefox window and safari, added jpg to my email signature and it doesn't link!

All tutorials say to follow the very simple steps I have completed yet it does not seem to work. I can't figure out why the preview works but then when I save it the final jpg doesn't. Have tried saving as a gif and png file too but still no luck.

Appreciate any help you can offer me. I need to get this banner finished asap

Cheers

I know it's a really simple thing to do but something is going wrong. Any suggestions appreciated