I'm slicing a very tall psd now (1200 x 5000 px) and when I hit save for web and devices, photoshop says that the image is too big to save. I have ended up cropping the image but I'd really like to know what to do with this error. I'm using photoshop cs5 on windows 7, if it helps.
As Joonas mentions, it's more or a warning.
It lets you compare different export options, and see the results live next to each other. When you are trying to save such a big image for web, it's just telling you it might be a little too much to visualize (imagine 4 different outputs, each of 1200 x 5000).
Ideally, big images would just be Saved as JPG in
Having said that, if your computer can easily handle big files, there's no reason why you can't continue using Save for Web. You probably need to see the slices you are saving, and it saves more time than having separated objects, so it's ok.