It depends on what program you want to use if you're actually Creating one.
As for having one here on the forums, you must go to the drop-down menu under your name and click Settings.
From Settings, click on About Me.
Scroll all the way down to the last box, labeled Signature.
There you can put a IMG code, such as this for example:
The IMG has to be in the frame of 700 x 200 or less.
Then click Submit.