Well, it should. You probably had it to "save for web" (or whatever) at the same time as you sliced.
Btw, slice before you save as JPG. Since JPG uses lossy compression the image will lose some quality every time you save it. That's why one sees so many lousy JPGs on the Web. Never do anything to a JPG. Turn it into .psp or .bmp first and then back to JPG when you're done with it.