Are you thinking like the "animated" one lurkyloo has or just a static one?
You can ask someone on the Tech board or even perhaps someone on the Photography or Creative board.
For a static one, the easiest way I know is to create add the photos to one file in Paint. You can "manipulate" them (a little) to get them how you want them, then save the file as an independent JPEG.
If you want an "animated" one, you can download some software that will help you create a GIF file that will help you do that. Some are easier than others to work with.
Of course, there's always just adding the photos you want to your photobucket account and copying/pasting the IMG codes separately into your siggie and playing with it until you get the look you want. This could be a real trial and error mess for awhile until you get the sizes right, etc.
I hope that helps some. It's kinda hard (for me) to explain it all in a post...