Well the first step is to have some idea of what kind of sig you want to have. You've joined a wrestling sites board so lets presume you want a wrestling based sig.
To save a lot of time an easy way of creating a sig would simply be to find a pic of your fave wrestler (for the purposes of this guide it shall be your friend and mine - The Big Bossman) and editing it with paint. Off to google we go and in the images section we search for The Big Bossman resulting in this charming visage. Save the picture and open it in paint and simply add your name in the corner, preferably in a readable size and font other than comic sans. Save the picture as a .jpg
Finally we want to put it somewhere on the internet so that the picture can be seen by everyone else. Don't ask why this needs to be done, it just does. A handy image hoster is Imageshack, follow the guide there and you should have a picture ready to be linked to and viewed by the world.
Ta Da
Feel free to experiment and one day you too will be able to spend 15 minutes of your time informing the cyber mark jrs of the interweb how to do crappy pictures