If I understand your question, you should be looking into the append() function. This code below works with jquery 1.4.3. I added some inline styles just to make the divs stand out on my page.
<div id="slider">
<div class="one" style="width:200px;height:20px;background-color:gray;"> </div>
<!--end slide-->
<div class="two" style="width:200px;height:20px;background-color:white;"> </div>
<!--end slide-->
<div class="three" style="width:200px;height:20px;background-color:lime;"> </div>
<!--end slide-->
<div class="four" style="width:200px;height:20px;background-color:silver;"> </div>
<!--end slide-->
</div>
<!-- end slider -->
<div id="clicker">
<a href="#" id="link-one" onclick="$('.one').append(this)">DLO</a>
<a href="#" id="link-two" onclick="$('.two').append(this)">test-a</a>
<a href="#" id="link-three" onclick="$('.three').append(this)">tes-a</a>
<a href="#" id="link-four" onclick="$('.four').append(this)">te-a</a>
</div>
If you want to give it a cool little "fade in" effect you can hide the anchor text, then append it to the div, then fade it in. Looks a little cooler.
<div id="slider">
<div class="one" style="width:200px;height:20px;background-color:gray;"> </div>
<!--end slide-->
<div class="two" style="width:200px;height:20px;background-color:white;"> </div>
<!--end slide-->
<div class="three" style="width:200px;height:20px;background-color:lime;"> </div>
<!--end slide-->
<div class="four" style="width:200px;height:20px;background-color:silver;"> </div>
<!--end slide-->
</div>
<!-- end slider -->
<div id="clicker">
<a href="#" id="link-one" onclick="$(this).hide();$('.one').append(this);$(this).fadeIn();">DLO</a>
<a href="#" id="link-two" onclick="$(this).hide();$('.two').append(this);$(this).fadeIn();">test-a</a>
<a href="#" id="link-three" onclick="$(this).hide();$('.three').append(this);$(this).fadeIn();">tes-a</a>
<a href="#" id="link-four" onclick="$(this).hide();$('.four').append(this);$(this).fadeIn();">te-a</a>
</div>