OK - sorry about the delay. I have Outlook Express 6 going under XP SP3, and I see what you mean. You set this up by going to Tools -> Options -> Signatures, and hitting "New". If you select "Text", that's what it expects, so the HTML code is not interpreted.
So you'll need to use the "File" method:
- take the HTML code you got, paste in to Notepad with anything else you want, and save it to a file called "sig.html" or something ending in ".html"
- on the Signatures tab (under Tools -> Options) select "File" and "Browse".
- In the "open file" dialog, select "HTML Files" in the "Files of Type" box, then the HTML sig as above file, and say OK.
- You can say "Add signature to all outgoing messages" if you like, or else you'll have to "insert signature" manually. Say OK.
I don't use OE at all, but this seems to work - it creates HTML mail by default, and puts the signature at the bottom if you have that enabled.