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I was having this problem as well when I first got the phone. My brother and girlfriend both have Iphones and the pictures they sent weren't working. I'm not sure if this will work for everyone, but I went into the Go SMS settings -> MMS Settings -> Maximum MMS size and changed it to the biggest amount (5M). It has worked since!
Hope this helps
If you came from an iphone there is a known issue with mms. You need to remove your iphone from your associated apple account for them to work. If not then i dunno.