Okay, maybe I'm dense (well, my wife would argue the "maybe" part) but I am not seeing an option in my profile that lets me setup an avatar. I did a forum search but the only post I found about specifically creating an avatar goes back to 2005 and the option it talks about doesn't appear in my profile.

... so what am I doing wrong?

Click My Controls above right link. under Personal Profile in the left hand column, choose edit avatar settings and then follow directions.