You mean the thing on the left, not the signature, I'm guessing.
Get a single picture. Upload to
http://www.imageshack.us or other hosting provider. In the control panel, where it says AVATAR URL under edit profile, copy the direct link to the image with no other code into the box.
If you wan't one like mine which shows rank and awards, get the badge generator from the Suggested Downloads page. Run the program, it will generate a badge according to the data you enter. Upload and use that as above.
Come back if you need more help.
@MA: Any chance of an Automatic Bagde Generator i.e. enter EHM-XXXX, it loads your data from the system and creates a badge in that way?