If it is sent in a text and you don't see anything but a link, you're not going to download them. It just spins and shows the link again.
If your MMS is set up properly you actually see the pic in the text.
If you don't; do a web search for "<insert your carrier name> MMS settings" and save the page or write down the values.
On your phone go to Settings > cellular + SIM > SIM settings > add MMS APN and make sure the values match the ones from your search.