I am having the same problem. However the person I'm having problems with has the Droid Incredible. My husband also has the Droid and he can't open this person's pictures either. It is actually quite irritating.
When getting an error message from a picture text sent to your phone it comes from the message being too large. The picture file on your phone do not support a message that large, you can suggest to the person sending the message to drop the resolution/size and then send to your device.
I found a solution to my problem. By making sure that when my daughter sends picture that she includes a subject, or some text of any kind, the picture will be downloaded successfully.