What version of AI?
CS2 added some improvements to SWF export. The SWF export dialog (not the Save For Web dialog) now lets you specify a particular layer as one to serve as a static background while the other layers (or Blends)animate.
An Animate Blends checbox was also added so you don't have to Release To Layers. (You would still have to use Release To Layers on Groups which result from other step-and-repeat effects like the Transform Effect).
So to fade a raster image in earlier versions,you could:
1. Drag the image to the Symbols Palette to make it a Symbol. (This is because you cannot blend between two raster images; but you can blend between two instances of the same Symbol.)
2. Drag two Instances of the Symbol onto the page. Align them vertically and horizontally so they are stacked right on top of each other. Set the opacity of the top one to zero. Select both and Object>Blend>Make (Use Object>Blend>Blend Options to set the number of steps as desired).
3. Select the Blend. From the Layers Palette flyout menu select Release To Layers, Sequence. Select all the new layers and drag them to the top of the Layers stack (because they have to be top-level Layers to become SWF frames).
4. Export to SWF or use Save For Web>SWF, using the AI Layers to SWF Frames option.
With the improvments in CS2 mentioned above, another method is possible:
1. Put the image on its own layer.
2. Add a Layer. Draw a path (like a rectangle) on the new Layer, covering all or part of the image. Give the path a white fill.
3. Copy the path. Paste In Front. Select the two stacked paths and Object>Blend>Make. Adjust the Blend Options as desired.
4. Export to SWF, using AI Layers to SWF Frames. Turn on the checkbox for Animate Blends and Sequence. Turn on the checkbox for UseBackground and designate the Layer that has the image on it as the background layer.
As for the hyperlinks; you can add URL links to objects or Slices in AI's Attributes Palette. However, as far as I can tell, those links only survive export to SWF if it is a static SWF (AI file to SWF file). And even if that did work, I don't think there is any way to designate another layer of the same file the target of the hyperlink. So it seems you would need to create three different SWF files, and add the hyperlinks between them manually in the HTML files.
Also, while CS2 makes more efficiently structured SWFs than CS1 (and I much appreciate those improvements), the fact remains that AI's SWF export is still really best left to things appropriate for frame-by-frame animations (changing shapes--things that would have to be done as frame-by-frame in Flash also).
Transformation animations like movement, scaling, or effects--like your image browser example--are still much better done in Flash, where you have a timeline to adjust duration (instead of trying to control duration by the number of blend steps); where you have control over easing in and out; where the transformation can be accomplished as a simple script command rather than as discrete frames with repeating content; and where you can add the navigation interactivity you want within the SWF itself using goto or show/hide interactivity.