I forgot to mention flattening in the last tutorial, so let me just take a moment to talk about that. When you finish an icon on Photoshop, you have to flatten it - it's basically smooshing all the layers together, which then allows you to save it as a .jpg or .png image. If you don't flatten your icon, you have to save it as a .psd image - which is a Photoshop image. This can be useful - if you are working on something and haven't finished it, or want to go back later and see how you did something, I recommend saving it as a .psd. But they're big files, and really only for reference. I normally save my headers in two versions - one .psd file, one .png. Then I have one to save and upload to the net, and one to edit, if I need to.
Anyway, to flatten an image:
Layer --> Flatten Image (it's near the bottom of that dropdown)