stickwatcher,
If the picture is from a website, mouse over the image, right click the mouse and choose "Save Picture As".
*******EDITED***********
Ooooops, sorry scratch that, stickwatcher. I was errantly thinking you could cut and paste the picture as an avatar. The method I used was to mouse over the image, right click the mouse and choose "Properties". A Properties window will pop up. From the Properties window copy the "Address (URL)" information into your profile to display that image as your avatar.