As you have it, you'd probably need to do it in ImageReady.
ImageReady was bundled with PS-CS so I assume it still is with PS-CS2.
It's a Vector Graphics programme in which you can manipulate images into animations.
Thus you can give separate frames dfferent command functions (ie, mouse over and mouse down states).
You can show a different image for mouse over and a re-direct for mouse-down.

Or, you could remove the link images and code it instead.

Nice image btw, but I don't like the frame very much.
If you were to code the links, it would probably be easier if you were to scrap the frame altogether and add the links beneath. That would also mean you could trim the image and save a lot on the file size so your visitors wouldn't have to wait as long for the image to download.