Personally, I'd at least give the user a chance to remove it of his own volition. Just PM him or post saying "hey d00d, the link in your signature is not allowed, please remove it." Most people will then say "oh, sorry, was not aware that it was not allowed, it's fixed now." And the problem is solved.
If he is resistant, though, then you can go in and remove it - and I think there is a Profile Lock feature, so that once you've removed the offending link, you can make it so he can't add it back in again.
---Skorpion
_________________________
Don't put that signature in your mouth! You don't know where it's been!