...trying to load the photo from your web site or possibly your computer? If so that won't work. (I know, you already figured that out.) You need to have your photos on an image hosting site such as imagecoast.com .

Use the photo url from there and yes as mrfisher said remove the http:// which TER has already placed in the photo url box.  The link won't work if the http:// is there twice.

The file to be targeted must be on a publicly accessible server without requiring passwords or logins. (E.g., your imagecoast account where you put pictures in such a publicly accessible folder.)

You have to get the address correct. Here's an example. A "free pictures" site. A red pepper.  
http://www.freeimageslive.com/galleries/objects/general/objects00445_small.jpg

I can the red pepper on that website. I right-click and "copy image location" or "copy image address" or "copy link location" - it may depend on your browser, etc.

In the picture URL box [      ]  

I paste the link: picture URL [http://www.freeimageslive.com/galleries/objects/general/pics/objects00445.jpg]

When you read my post, TER is just a middle man that sends a request to freeimageslive.com to send the red pepper pic to your browser. (TER does not store pictures.)  

You should see the red pepper here