If the mms was sent from an IPhone it could be the problem. Could be your network service provider.
If not sent from an IPhone then contact your network service provider.
Also: Try clearing all your messaging apps messages as well as all you app caches, and browser search history and caches.
To clear all your messaging app caches just open it up and hit the menu key. It should display that option.
To clear all your Browser history and caches open up your browser. It should be in it's settings option.
To clear all app caches, download a good app cache cleaner from the PlayStore.