If you just want a simple slideshow, with images that link to other locations, Highslide JS probably isn't the tool for the job. While it's probably possible to create that with Highslide, you have to do a lot of fiddling around, with a gallery that is self-launching, hidden thumbnails, etc. And getting clickable links on the images themselves would be very tricky. Highslide JS is set up to accept a click on the enlarged image as the trigger either to display the next image, or to close (back to the thumbnails).
If I were you, I'd Google for HTML slideshow, and do some looking around. There's almost certainly a script out there that's designed to do what you want, without going through a lot of gyrations.