MMS stands for Multimedia Messaging, which is a SMS with media content attached to it (photos/videos/audio). In order to receive MMS, you need 2 things:
1) An active data plan and your mobile data turned on. Wi-fi will not work for receiving MMS unless you're using a 3rd party app like Whatsapp.
2) Your APN's need to be up-to-date. APN stands for Access Point Names. They are the key to the gateway that is your mobile data and MMS.
Should you find that all of the above is correct, then your best option would be to contact your network provider and verify that there is no network outage in your area or restriction on your line. If you are able to receive MMS from other lines and download them fine, then it might very well be that the file you are trying to open is either corrupt or malignant.