That link isn't working. When I went to the viewmymessage.com page I saw:
Sorry, ViewMyMessage.com is no longer able to be accessed directly.
In order to improve your experience, there are now three ways you can access your messages:
Click on the link provided in the notification message to view your message on your phone
Type in the entire link - provided in the notification message on your phone - in the address bar on your browser
Forward the notification message to your email and:
Click on the link directly from your email to view your message
OR
Copy and paste the link on to the address bar on your browser to view your message
Check out the latest AT&T phones here if you are interested in receiving picture and video messages directly on your mobile phone.
Have you always had this issue? Or did you just get the phone, and are new to AT&T? That last sentence makes me think that whatever plan you have, doesn't allow you to get pics and video on your phone. I don't use AT&T so I'm not familiar with this.