There are actually two different ones, one is your Profile picture and one is your Avatar picture.
Your Profile picture actually only shows up in your member page, whereas your Avatar is the one that you see on the left hand side of the page. You can see mine is of one of my boy's. So to change or add your Avatar picture, click on your User CP
and then look at the menu on the left. Scroll down till you see the link Edit Avatar
and click that. Then you can upload a photo and that is the pictures you see on the left side of your posts