Hi --
Are you talking about inserting an image into a picture control? When you add a picture control to your form, you have two choices, a control that stores the file with the form or a control that stores a link to the image. If you store a link, your form won't get as big (less data).
To insert an image from a URL into a picture control, you can simply paste the URL into the filename field in the insert picture dialog box that opens for you to select your image. If you are simply adding the image to the form as part of the template, however, the image will be added to the template files (you'll see it if you extract the files from the xsn).