How can i receive picture messages...?

my friend sent me a mms the other night of her new born baby, now i didn't get the message so i thought maybe it was the phone. So i swapped phones but still, no picture? Supposedly I've been sent quite a few picture messages as well but just haven't received them. Can anyone shed any light on this? I was using my blackberry for a while but it didn't have the service plan (so it was just texts and phone calls) so I'm using a brand new HTC desire now. Is there anyway to get all these messages I've supposedly been sent or?