First of all you'll need to get yourself an image hosting site for your graphic.
Just copying and pasting the graphics url that the designers has posted the image for you is using the designers bandwidth. Photobucket.com is a popular choice but there are many out there. To get a Photobucket account, just go to photobucket.com and sign up for one photobucket is free to use.

Next, download the graphic to your computer.
If you use a PC, right click on the image and save it to your computer.
If you use a Mac, drag the image to your desktop.

Upload the siggy to your chosen hosting site.
If you use Photobucket, click on the "browse" button and find the graphic from your computer. Click on "Choose Files". Once it is uploaded you need to copy the [img] for forums or html code for websites.

Once you have done the above steps go to your profile/website were you which to use the graphic and paste the code and click save.