There is no direct support for shared affiliation addresses in the sig-alternate class. Basically, ACM suggest you to give all information for each author in a dedicated \alignauthor block.
\documentclass{sig-alternate}
\title{My Fancy Paper}
\begin{document}
\author{
% 1st. author
\alignauthor
Ben Trovato\\
\affaddr{Institute for Clarity in Documentation, Wallamaloo, New Zeeland}\\
\email{trovato@corporation.com}
\and
\alignauthor
Foo Bar\\
\affaddr{Institute for Clarity in Documentation, Wallamaloo, New Zeeland}\\
\email{bar@corporation.com}
\and
\alignauthor
Cool Guy\\
\affaddr{Cool Stuff Intitute, Cold Village, Iceland}\\
\email{cool.guy@stuffinstitute.com}
}
\maketitle
\begin{abstract}
This paper...
\end{abstract}
% A category with the (minimum) three required fields
\category{H.4}{Information Systems Applications}{Miscellaneous}
%A category including the fourth, optional field follows...
\category{D.2.8}{Software Engineering}{Metrics}[complexity measures, performance measures]
\terms{Theory}
\keywords{ACM proceedings, \LaTeX, text tagging}
\section{Introduction}
\end{document}

If you don't like this or consider it as too space-consuming, you can of course hack around this manually to get the intended result. This is probably not "correct", but I have to admit that I do this for space reasons quite frequently – and nobody ever has complained about it.
\documentclass{sig-alternate}
\title{My Fancy Paper}
\begin{document}
\author{
% all authors in one row :-)
\alignauthor
Ben Trovato\textsuperscript{\#}\quad Foo Bar\textsuperscript{\#}\quad Cool Guy\textsuperscript{*}\\
\affaddr{\textsuperscript{\#}Institute for Clarity in Documentation, Wallamaloo, New Zeeland}\\
\affaddr{\textsuperscript{*}Cool Stuff Intitute, Cold Village, Iceland}\\
\email{\{trovato, bar\}@corporation.com}\\
\email{cool.guy@stuffinstitute.com}
}
\maketitle
\begin{abstract}
This paper...
\end{abstract}
% A category with the (minimum) three required fields
\category{H.4}{Information Systems Applications}{Miscellaneous}
%A category including the fourth, optional field follows...
\category{D.2.8}{Software Engineering}{Metrics}[complexity measures, performance measures]
\terms{Theory}
\keywords{ACM proceedings, \LaTeX, text tagging}
\section{Introduction}
\end{document}
