Isn't it the same as inserting a picture into a regular post? Just hit the icon that looks like a mountain and paste in the URL of where you are hosting the photo?
Oh, just start a photobucket account, they make it super easy to be able to post photos to forums. You click on a button under the photo that you've put on their site and it gives you a URL link to the photo to use on this site.
I'm not sure if you can link directly to a file on your computer in a PM but maybe others will be more helpful regarding that.
Photobucket
you upload the photo to photobucket then you select how you want to link it. Copy and paste, very easy to do.