somewhere in MMS settings ( Messages -> Options -> Settings -> Multimediamessage)
theres an option set to only recieve MMS from someone with the same operator as you and some other things, check it out
Or, first, check that your operator has provisioned you for MMS (which, in other words, means that their customer service have registered you to be able to receive MMS messages). Some do it by default, but not all. Others do it automatically when you order their MMS settings from them, or send your first MMS yourself.
Then check that you have the correct MMS Access Point settings from your operator. Simplest way is to call their customer service and ask them to send them to your number as a configuration message (which you open, hit Options and then Save). Or check their web site for the settings.