Have you thought about creating it in Flash?
The client wants it in gif format done in photoshop
The HTML code would be...
<a href="http://clientwebsite.com" target="_blank" title="click here"><img src="wherever you place banner" alt="banner" /></a>
and that should pop open new window but you can remove the target if you want same window... it also links whole banner so you don't miss a click.
Most often, the link for .gif banner is handled on the server side where the hosting website just adds a link for the image to click through. It doesn't offer any interactive options such as different button states though.
Oh ok! I exported the photoshop gif as html and images, would I open a new index.html or work off the exisiting html file photoshop made for me.
I would check on how it will be delivered first. Usually, if you are asked for a gif banner, they are not expecting to get HTML with it too. In that case, just do a save for web and choose gif and save only image and not HTML.
If they do accept HTML and you want to make try to make it more interactive... you can export it as image with HTML and modify the HTML to add interactive elements. I would check with client first to make sure how the banner will be delivered first before wasting your time though.