I have the same issue as well and have had my BBerry for over a year. I usually just have the sender re-send it. It doesn't happen too often, but it is annoying.
jst so everyone knows i'm not 100% sure if it will be part of the new OS or if they are sending them out but there is going to be a new mms service book 2.0 that will fix the mms issue hold tight a little longer