I don't think you can. I use InDesign for Interactive PDFs that can contain live links, but you can also do it with apps like MS Publisher and Word. Word is a huge PITA for positioning though.
When you preview the image from the save for web dialog box, it will open your browser to see the image. It also will have the necessary html code needed for the links to work. Just copy that html code and add it to your email code with the image.
Ahhh... I have learned something.