I agree with Onik's comment linking to his answer to a previous similar questionhis answer to a previous similar question; this very well may be up to your carrier and something you'll have to take up with them.
SMS/MMS delivery is a ballet involving the sending and receiving carriers' interest in cooperating, the network technology your phone usesnetwork technology your phone uses, and how the SMS app on your phone interprets the messages you receive. An unfortunate number of these factors are out of your control, but have you tried another SMS app like Go SMS or Handcent? These may help your issue.
