Windows 8.1
HTC
AT&T
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Windows 8.1
HTC
AT&T
You need to configure your MMS.
Do a web search for "<carrier name> mms settings" and save the page or copy down the values. Or ask AT&T for the settings
On your phone go to Settings > cellular + SIM > SIM settings > add MMS APN > make sure the values match those found in your search.
If it is an Unlocked Verizon model you are using on AT&T, they may have crippled MMS... Otherwise follow Harrie's advice above.