uhh... got any more details? Are you just downloading pictures from an internet browser?
On the phone, pictures should naturally show up in Mediascape so if you launch Mediascape you can probably find the picture in question, no matter where you download it from or to.
You can also install a file manager on your phone, like Astro, and find the photos in that way by browsing the SD card on the phone. They often end up in the Download folder, at least they do on my phone.
Alternately, you can always connect the phone to your computer and find photos by browsing the phone's SD card just like you would any other USB drive, or by using PC Companion.
Edit: The OP updated the post with clearer details.. to update my post, I'm not sure where photos go when sent by text message, but they will still most likely show up in Mediascape, or you can find them by browsing the SD card in one manner or another.