Hi, for the links issue, look at the Using the HTML Content Module document, at the bottom of the "Slide Show Settings" section.
If search isn't working, it's probably an issue with your file permission settings. Your whole web tree should be read only to the App Pool user/process, but /Data and /App_Data need to be read/write. You can check these permissions in Administrator, Security Advisor. Use the link to check file permissions.
Jamie