They do, you're just not entering the HTML correctly. Type it into your message like this:
<img src="http://www.outlawwomen.com/PokerAlice.jpg">It'll come out like this:
<img src="http://upload.wikimedia.org/wikipedia/en/2/28/Calamity_Jane_on_a_horse.gif">
To find the URL for an *image* you see on a web page, right-click on the image and select "Properties" from the popup menu. It'll show you the Address/URL, you can copy/paste it by selecting it with your mouse (i.e. highlighting it), then hitting "Ctrl-C" or right-click and select "Copy" from the popup menu.