Your problem is either that you're not saving to a proper format, such as Jpeg or Gif, or you are trying to post it directly from your computer. And like E-Lo pointed out, you have to host it on a service like Photobucket first.
And as a side note, try to keep your sig small (height wise.) Probably the best vertical size is about 150 pixels max. (I think mine is about 120 plus the text underneath.) Unfortunately, I suspect that I saved mine as super high rez, so it takes a while to load. XD Tall sigs make it difficult to scroll through the forums. Good luck with your sig!