Some web sites store their images on image servers. You can actually access images from any web address in the world:
Personally, I don't like doing this because my webpage is dependent on the website to get the images from (eg: Photobucket, Flickr, DeviantArt, Shutterfly). Should that website shut down (maintenance or closure), your image cannot be found. It's best to save the image to your website and link locally.
