you use photoshop to make the picture. but as far as linking things goes, that is what the html is for. dreamweaver is a tool for helping write html. if you do not know anything about html dreamweaver will be tough for you to figure out. you may be able to do some of the simple stuff by following tutorials online and stuff. linking a gif to a website is one of the easier things to do though so... maybe. basically if your gif is a banner;
in between the <head> and the </head> tags insert your .gif ( <img src="YOUR FILE NAME.gif") and then put the a href tags next to it. so that it looks like this;
<head>
<img src-"YOUR FILE NAME.gif" <a href="http://www.THE SITE YOU WANT TO LINK TO.com"></a>
</head>
but just to make sure you understand... this code goes in the coding for the website you are putting it in. it is not something that you can attach to the gif. basically you are attaching the gif to the link, not the link to the gif. so you have to have a website before linking anything (if that makes sense).