Hey Norman. Make sure data connection has been turned on for you to receive the picture messages that were sent to you. If you don't do this, a text message could be sent to you to inform that a picture message has been sent, together with the link so you can view it later on with your web browser.

To turn data on your phone:

Go to Settings > Cellular > Data Connection. You should see a bar which you can slide to turn on or off your data connection.