To use a blinkie, right click it & select "save picture as."
Save it wherever is easy for you to remember on your hard drive.
I usually like to save things to "My Documents" just so I remember where they are.
Then you'll go to your website & upload the image.
Here is a good tutorial on using blinkies on EZBoard in your signature.
Here is a good tutorial on adding a signature to your EZBoard account.