ah, you're using IE, I'm using firefox..
I did this one from IE by copying just the 'img' part of the address from freesmileys, leaving off the surrounding [url][/url].
that is, it looks like this in the source code and just the part in quotes gets pasted into the 'Enter an image' box:
<img src="http://www.freesmileys.org/emo/shocked016.gif">
you can edit out the extraneous url/img stuff once you've pasted the whole thing into said box.
edit: just one of the advantages of firefox.
another option: hand-code it like this, leaving out the spaces
[ img]
http://www.freesmileys.org/emo/shocked003.gif[ /img]