We artists know that as soon as we create something, it is copyrighted, which means that as the creator, we own all rights to that image. Some other people may not know that, and steal our images (or they do know that and do it anyway, but I'm not going to talk about that). But if you find someone using your image and you want to take them to court, the lawyers say you have to have gone through the process of registering your piece at the copyright office (and paying a fee) in order for you to be able to collect damages. Doesn't really make sense to me, but ANYway...
Some of us are too money-impaired to do that with all of our stuff. Adobe has addressed this starting with Photoshop CS4, by adding a feature that may* help you protect yourself a little more. I think it would protect you against instances where people claim that they don't know who the creator of the art is, as stated in that ridiculous Orphan Works Bill that was introduced last year.
* I am not a lawyer, this may not mean anything in a court of law, blah, blah, blah.
So, with your document open in Photoshop, go to the File menu and select 'file info.'
here. I don't bother with the other tabs but there are a lot of other options to add more info about the image.
Now, you have your info for your original PS file. To get it on your web-safe image, when you go to "Save for web & devices", make sure that you check that you have selected copyright and contact info in the Metadata box. Hit save and you're done!
What's really cool about this is that when you open your new web-safe image, there is a © symbol on the name of your file!