If WiFi is on and connected, it may be preventing your phone from using the cellular data required for MMS or "picture mail."
Otherwise, like jmshub indicated, your settings need to be updated. If you need further help, join the site so you can reply in this thread.
We need to know what phone and OS version, what country and what carrier... (Because T-Mo US is way different than T-MO Germany or Voda Ireland is not the same as Voda India, etc.)