What does the little red cross mean when trying to post pics?

[Marjorie Proops]

If I'm trying to link to a pic on another site, I enter all the square brackets and url thingies, but still get a little box with a red cross, what am I doing wrong?
Does a pic appearing on another site (by the owner) automatically mean that he is hosting it therefore I don't need to resize?

 

[cookie]

it might mean other site doesn't allow hot linking. test on another site.