They connect you to some other place. If your web site has more than one page you will need hyperlinks to go from one page to the other. In most programs adding a hyperlink is simply of matter of highlighting a word or graphic, then selecting the make hyperlink button at the top of the page and telling it where you want to connect to. Most web surfers are extremely impatient and won't wait long to see if the picture is worth viewing. Use a photo editing software to prepare your photo for the web.
Most pictures have much wasted space around the subject.
Then, save the photo as a .jpg file and compress it. This is the tricky part. You want to compress the photo as much as you can, but you want to retain as much quality as possible. You have to weigh one result against the other. Ideally your total page, including photos, should be under 60 kb large Fancy fonts are fun, but not everyone can view them.