It's been a while since I used CS3, but I think that slice support was added in CS4. If I'm wrong, there's a chance that FW has just hidden the slices. Click the Show Slices and Hotspots tool in the Web section of the tools panel and see if things change. Note though, that even in CS4, the only thing supported are the slice dimensions. Optimization settings are not carried over from PS to FW.
The tutorial is for CS4, so it might be that you need FW CS4 in order to import the slices. I have CS3 and it doesn't work for me, either. I can, though, open the file in PS CS3, go to View > Show and put a check mark next to slices. Here's a screen cap you could use to place a new set of slices (resizing by the forum, it's full size).
And, in the meantime, Jim's posted! No, the slices and hotspots tool is showing. They just don't import with CS3.
I guess I could just slice the comp in FW CS3 paying attention to the orig sizes?