The link is working fine:
http://www.contextures.com/xlcomments02.html#Picture
and there's a video here:
http://www.contextures.com/xlVideos01.html#CommentPicture
Here's what the page says:
Add a Picture to a Comment
1. Right-click the cell which contains the comment.
2. Choose Show/Hide Comments, and clear any text from the comment.
3. Click on the border of the comment, to select it.
4. Choose Format|Comment
5. On the Colors and Lines tab, click the drop-down arrow for Color.
6. Click Fill Effects
7. On the picture tab, click Select Picture
8. Locate and select the picture
9. To keep the picture in proportion, add a check mark to Lock Picture
Aspect Ratio
10. Click Insert, click OK, click OK