How would I add a link to a banner I make in photoshop?
Image files (jpg, gif, png) don't actually have links built into them. The link is added later by HTML code (or on forums by BB code).
So, save your banner as an image, then upload it somewhere to the web.
Then you can use code like this example, to show it on the forum:
Or, if you're putting it in a web page as HTML, use something like:
<a href="http://example.com"><img src="http://example.com/images/mybanner.jpg"></a>