Mms Retrieval issue on PAYG

[xxartixx]

First of all, I don't know whether this is a network problem or phone problem. Every time I receive a MMS it always asks me to 'download' it, requiring data which uses credit as this phone is on PAYG. Is this normal? I'm not too sure what information you need to answer my question. I have turned on wifi to try and download it but this doesn't work.