Yes, you'll need to have an image posted to an external site, i.e. Photobucket.com. It should be pretty easy to set up (and free). 
Then once you've done that, come back here and click "My Profile", then "Icons". From there, a new option should show at the bottom of the page, under the "Add a Custom Icon" header. Type in the URL for your icon from the external site. Personal icons are limited to 60x60 pixels, so please be aware of this while choosing an image.
Good luck!
I'm trying to change mine & it won't work!!!
It's a .jpg in my photobucket....just like my Gekko was, but it keeps saying it must start with http & be a jpg, gif or something.
http://i168.photobucket.com/albums/u186/utopia310/Holiday%20Sigs/christmashousewithcatANDSNOW.jpg
That's the link... still won't work!!! 
BungalowMo wrote:I'm trying to change mine & it won't work!!!
It's a .jpg in my photobucket....just like my Gekko was, but it keeps saying it must start with http & be a jpg, gif or something.
http://i168.photobucket.com/albums/u186/utopia310/Holiday%20Sigs/christmashousewithcatANDSNOW.jpg
That's the link... still won't work!!!
I'm not technical at all, but maybe there's a couple of things you can try.
First off, your link is ok. If I copy and past it I see a very suspicious cat... Also, I just tried to use that as my icon pic and got the same message.
1) try shortening the file name...maybe CHWCAS.jpg or something. Maybe the url is too long and maybe the forums limits the url text to so many characters. Just a guess.
2) Maybe the forums doesn't like the "%" character in the url. If you have a folder name on photobucket w/ spaces, underscores, % signs, etc., then try changing it to something else.
A non-techie 2 cents.
@BungalowMo wrote:I'm trying to change mine & it won't work!!!
It's a .jpg in my photobucket....just like my Gekko was, but it keeps saying it must start with http & be a jpg, gif or something.
http://i168.photobucket.com/albums/u186/utopia310/Holiday%20Sigs/christmashousewithcatANDSNOW.jpg
That's the link... still won't work!!!
Mo, go to photobucket and rename your pic to change those caps at the end to lower case letters, as in christmashousewithcatandsnow.jpg Then try the new, no-caps url here. Please let us know if that works!
laz98 wrote:
i changed my icon earlier today, & it WAS working........but when i came back later, it just had a huge X on it. it wasn't obscene or anything, it was just a little robot-looking thing! was it against the rules or something?
Sorry to let you know but your little robot-looking thing was offensive to the bigger robot-looking thingies. j/k
I dunno. It is very highly likely that it wasn't myFICO that switched it up. Maybe the source of the pic flaked out for a short bit or maybe a bandwidth issue with the source of the pic. Not sure. IMO, for best results, upload it to one of many pic hosting sites and then use that url to post the desired pic.
laz98 wrote:
i changed my icon earlier today, & it WAS working........but when i came back later, it just had a huge X on it. it wasn't obscene or anything, it was just a little robot-looking thing! was it against the rules or something?
lol, I saw it earlier, and I thought that the X was part of the design! No idea what that's all about. I've never seen that happen. llecs probably has it right.
I think your current one is innocuous enough to be safe.
Thanks for the icon Mo!!!!!!!!!!!!!!!!!!! 
If you're super nice to me I'll tell you how I did it and give it back.