Welcome to iMore! This is odd. A couple of questions:
1. Does this happened every time someone sends you a picture or has it only happened once?
2. Are other people able to message you pictures without issue or does this happen with everyone?
3. What device was the other person using?
4. Have you had the other person simply try to send it again?
My guess is that there was simply a hiccup in iMessage or whatever format the other person sent the picture in is incompatible with your phone, but please provide answers to the above questions and we can go from there.