Cannot store picture from MMS

Hi,

I'm having trouble storing a picture on my V3 that was sent to me by a
friend by MMS.

I wait for the picture to load, click Store > File (it brings up the
picture I want to store) > Store > Store Only. It then says please
wait and the egg timer appears. once this is done it returns to the
message. All seems ok, however when I go the my pictures the image is
not there.

I have plenty of memory available on my v3 so I can't see it being
that. Is this a known problem with v3's or is mine a bit special?

Any help would be much appreciated!

Cheers

Jon