No, if they've already made a sig and posted it on a website somewhere, it doesn't need to be uploaded again. Just find the URL for the image (either they'll have given it to you or you'll find it here: right-click > Properties > Location), go to you settings, and paste that into your 'Signature' box. Then just highlight what you just pasted and click the little 'Tree' icon on the bottom toolbar.
By the way, just so you know, <-- that over there is an avatar and V that down there is a sig.