Download? If it's a text message you shouldn't need to download anything. You should receive it fine. I've been exchanging SMS with iPhone users for years and never needed to download the messages. If they're picture messages, you need to be connected to data to get them plus have an MMS access point.
He's referring to group messages. IPhones are horrible for this. If I don't happen to have data enabled when they send a group message, my phone will never attempt again to download it. So I have to disable mms auto retrieve.