An example is worth more than 100 explanations, the key is to insert html code in your signature, here is mine
<font size=-2>Too many cameras ? Too few pictures ? Time for a <a href="http://www.pbase.com/taffer/paw_2004" target="_blank">PAW !</a>
<a href="http://www.upcnet.es/~org" target="_blank">taffer</a></font>
I taff, you taff, (s)he taffs, we taff, you taff, they taff, I taff...
So, something like <a href="http://www.backalleyphoto.com">My Site</a> will work. You can even put an image where the 'My Site' part is so you get a graphic clickable link...