Okay. Click on "Profile" up at the top of this page (it appears right under the blue banner). That will take you to your profile, in which you can do things like set your preferences, link to your home page, or set signature lines. The bottom section is "Avatar Control Pane". In the line "Upload avatar from your machine", click "upload" and choose a small image from your own hard drive. Then hit "submit" at the bottom of the page and you're done. Alternatively you could type an address into "Upload avatar from a URL", most likely to an image you already have stored on Brickshelf or some other web location.
Oh, and Rogue was right. I'm shifting this thread over to "publishing".