Alright, I just did it too, just to see where to fault it. Apparently, you're doing it wrong. Let me give you clear instructions...
1) Copy the link. To be sure you got it right, make a new tab/window, and insert it in there. If you did it right, you should be able to see the .gif. If you can't see it, rightclick on the image, choose properties, and there should be a link in that menu. You should have the link by now.
2) Go to the upper right corner. You should see your own name, and an arrow next to it, pointing down. Hover your cursor above it, now a menu should appear. Choose [Signature].
3) HEre is where you can edit your signature. I believe you know this, of course, since you already have an image in your sig. Now choose any place in the signature, and write [*IMG], directly follow by the link you copied. Close the tag with [/*IMG]. This should be good, now. NOTE: do not write the asterisks (*), this I did so that the site's program doesn't recognizes them as tags, to turn them into a failing image.
4) Now SAVE the changes, very important, of course. This is how I did it. Now I'm going to remove it.