Banner help please

So for some odd reason I have never made a banner. Well not one that was going on someone else’s site anyway.

Pretty much I just need to know what to do. I know I can make a SWF of the banner and people could click it and it would be fine. But if they can’t upload it, say on Myspace. A SWF file wouldn’t work.

So is there a way to make a GIF or Jpeg in flash with the link to whatever already there? Thanks for any help