If its a photo please make sure its small. Preferably under 15KB.
You cant 'attach' a photo in your sig but you can use the image bbcode to put an image in there.
If you have a photo on your website just put the url to the image between the [img] [/img] tags. If its a smilie from this site then get the URL by right clicking on it.
Dont go excessive. Remember every post you make unless you take your sig off will have those images in it. Its good to keep sigs small for those still on the eternal slow dialup.