I am fairly certain this is not possible within basic excel functionality,
but it can be achieved through VBA.
Here is a url for a bloke that has managed what you want - it may need
modifying depending on your specific requirement.
Post back and I may be able to modify it for you if you define what you
need.........
http://blogs.officezealot.com/charles/archive/2004/09/27/3019.aspx
Anyway, here is the code to do this in VBA (it assumes that the picture
name comes from the cell text):
Sub AddPictureToComment()
Dim rng As Range
Dim shp As Comment
Set rng = ActiveCell
If Not rng.Comment Is Nothing Then
rng.Comment.Delete
End If
If rng.Text <> "" Then
Set shp = rng.AddComment("")
shp.Shape.Fill.UserPicture rng.Text
End If
End Sub