It's mainly when you use an image (somethimes other types of files too, but mainly images) which is held on someone else's site in your post. Seems reasonably harmless, but to show that image on a message board (or anywhere), it needs to be "fetched" from the other site - this uses up the other site's bandwidth, so it end up can costing them money for the use of that bandwidth. In other words they could be paying for you to show their images on the forum.
Some sites <b>do</b> allow you to hotlink to their images, for example there are hotinks which I've seen in the "I taste like..." thread, but the important thing about these hotlinks are that they are <b>authorised</b> hotlinks (the site where the images are from specifically allows and I believe they even provide the code to allow you to hotlink to their images).
Unauthorised hotlinking though is pretty bluntly called bandwith theft. If you'd like more info, you can find some very informative <a href="http://www.springfrog.com/jump.php3?query=what+is+meant+by+bandwidth+theft%3F&searchtyp=web&match=phrase?=n%3An&pp=16&sd=">pages about bandwith theft here</a>.
As far as I've seen, I think you're posts are fine by the way chocobo. In fact I've hardly seen any unauthorized hotlinking here at all really (just one or two I think that I've had to remove) since I posted this thread, so a big thanks to all for being careful.
