Triple J, to try it out makes some 468px x 60 px banners. They don't have to be animated or anything. They should probably be .png's in this day and age, but pretty small, figuring they have to be able to load really fast. You can do other sizes that are vertical, too.
The implementation of the link is really, really simple and has to do with the html or javascript or whatever page it's actually on.
I used to actually have to do this banner stuff for media.net and grey advertising like 12 years ago when banner ads were a new concept, so if you need any suggestions or anything feel free to ask bro -
I'm sure with your Pshop skills you'll be able to hook it up nice and phat.