In User CP, under "edit signature" you have to have
It might be making a difference where your photo is being hosted. A lot of people around here use photobucket. Some places (like Geocities ... at least they use to be this way) won't let you link to their photos.
If you have more questions, be sure to visit our Tech Board. We have a FAQ thread that answers a lot of questions, and there are people who go to that board and are really helpful.