Not really sure what you are talking about. You don't download anything from text messages.
Unless you are talking about MMS. If your MMS is not properly set up, then you'll receive a text prompt needing to download something. You need correct MMS settings from your carrier, and mobile data connection (often this won't work on wifi. You need to pay for the mobile internet from your carrier).
You have to call your network carrier about their MMS settings to activate it on your phone.