I get the pictures of my site-content from a web site, there's no legal problem for getting pictures from there I'm sure for this. Is this a problem in terms of SEO? Should I carry pictures to my server? Will it make a difference? The page rank of that site is high, mine is low.
The location of the src of the image is not important. Just try to make sure that you supply an alt/title tag for that image so that search engines know what the image means for you and your visitors. As far as google is concerned, if the image is already on a site and google might already know what that image is about, so I wouldn't bother trying any black-hat SEO such as spamy alt tags for images.