Well slices are still useful as element BGs. This however is not what PS exports. Chances are the HTML file is a table containing all the slices ( and THAT’s is a ‘ewwwwww’). You can see what I am saying by switching over to code view on DW.
Code the header semantically, apply the images as bg with CSS ( I also bet you wouldn’t need 40?! separate slice for a header that way)
When using photoshop slices, make sure all the lines touch and that SNAP is on (View > Snap) so that you don’t get any gaps. I would keep it very direct, horizontal lines. IF you have to make a link or a navigation I would use image maps.
But if you want to be in the year 2012, I would learn how to convert it into CSS and Div layers. There are a million and one tutorials on how to convert a photoshop layout into a div and CSS layout. It’s how i learned!