Where to insert code

You would either place it in your header.php file, your front-page.php file or your home.php file. It depends on your theme, HTML layout and how you have your home page displayed. Test around and see which one works best for you.

I have the slider in my header and it looks good except that every image in my slider goes to the same link. And the link is always the last link in the list of images.

If I put the slider on a page, and not in the header, it works fine.