When the picture is linked from another website hosting the picture, you don't get the "attached images".
For example, I use photobucket. When I upload a picture to photobucket, it gives me a url to use within my post that will display the image:
You must be registered for see images attach
All that looks like in my post when I'm typing it is: [ IMG ]http://i163.photobucket.com/albums/t312/linderbee30/SeahawksHalftime.jpg[ /IMG ]
(except I put in spaces around the IMG & /IMG.)
I hope that makes sense & helps!