Images cannot contain links. What you've seen is either HTML or Flash, not just an image.
If you've defined hotspots that you can activate in browser preview mode, then you are looking at a Web page (HTML) that displays the image and has code that defines the hotspot regions and the actions that take place when you click inside the region.
Can you provide a link to an example of what you're trying to do?
ummm give a example of "link" like picture or what and i created a swf file with photoshop cs2 or cs3 forgot which one and how too but i know its possiable if you cant make a image with links in photoshop or fireworks is there any adobe program you can or what other program can i use
A .swf file is a Flash file. A Flash files is not simply an image and can contain active code, such as monitoring mouse position and launching a Web page when the mouse is clicked within a certain area. That's what you need to create, then.
If you have Flash, and know how to use it, then that's your better choice. Fireworks can export graphics and animations in Flash format, but I don't know if it will maintain the linking action. I guess it's worth a try. Open Help in the program, search for flash and read, "Exporting Fireworks graphics and animations as SWF files."
If that doesn't work, and you know you can produce the result you want from Photoshop, then maybe the better option would be to figure out how to do it again.