Use the 'Insert Image' function like normal. Paste the URL and make sure "Retrieve remote file and reference locally" is NOT checked. For some reason having the checked prevents many pics from working.
If it's from your computer just post it like normal.
These should work and if they aren't perhaps there is an issue with the pic itself, or the site it's hosted on.
If you're trying to use them as avatars they are pretty picky about the sizes. Most i try won't work.