You need to export your background image separately from your button. Next, you need to export your button states. Then, you need to create a Web page where you set your background image as the background for an HTML element (maybe a div, maybe a table cell) and you place your button rollover inside the HTML element. (Dreamweaver would be really good for this.)
You can't do it with just a single image.
Actually I just figured out an easier method-- use the export cropping tool and make sure the background image is on both states below the button image. I must have spend two hours looking for a solution and then stumbled on it by accident. I don't think it's mentioned in the manual.