When creating simple text links, you don't need a component on the MouseOver layer. You simply create text on the MouseOff layer, apply a link, then make sure that the text link colors are properly set on the Web Properties > Website tab.
You could also do as you've done — creating one element on the MouseOff layer, and a matching element on the MouseOver layer (but colored differently) — then applying a link. Note, however, that those two elements must be groups, not simple text strings. You had not grouped each text string, converting it to a graphic on export.
I've attached a sample WD6 file that has three links. The one in the middle is your original. On top is a single text element on the MouseOff layer. On the bottom is a sample of a link that uses two simple text strings, each of which has been grouped, on the two layers.
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