You MUST be using AT&T data network (that is to say you need 3G turned ON) to receive images via SMS.
If you're like me you keep data turned off, because usually you're on WiFi. But images will NOT download via WiFi.
I would suggest using a 3rd party SMS app like "GoSMS" - not because it will allow you to download via WiFi, but because it gives you a download button to download the SMS image. You still need to be on AT&T network. It makes it easier to receive images, because the default messaging app just assumes you have 3G turned on and tries to automatically start the download, making it fail and end the entire message-sending process.
What GoSMS does is send the link in the message, but shows a download button, letting you switch 3G on to download the image successfully the first time within the application.
It's a better SMS app altogether, but that's just one reason.
Hope this helps.