You need an app that can open the type of file the picture is. You also have to have your APN settings correct. Bring the phone into an AT&T store and they can set the APN (or tell you which store can do it), and thn maybe find out why you can't see the pictures.
One little word of advice. If the sender is using an iPhone, don't bother. iMessage isn't MMS, it's Apple's way of sending pictures from one iPhone to another. It very rarely works with any other phone.