You need to find an image of it somewhere on the web and right click on it. Go to the copy image location.... option. Now go to edit your sig and click on the Add image to sig button. In the box where it asks for the location of the image, press ctrl-v to paste the location of the CC image. Now attach the image to your sig and it should work.
Torstan, can you tell me how you made your Creative Commons license appear in your sig, when I put it up it just appears as the code.