I got my Curve 2 weeks ago and realized that I was not able to receive picture messages. Yesterday I took my Curve in and they replaced the unit. Funny thing is I sent a mms pic to myself at the store and it worked. But today I get the same message "Could not retrieve..... yada....yada.....yada."
As we now speak I am on the phone with DTS or I guess it is the next tier for Tech Support. I am in the middle of a long "wipe handset." This new thing, I think, called "Scrubbing" takes longer then a short drive down to Myrtle Beach, SC.
So I would venture to say that I don't think that it is the phone, although the initial time that I did it at the Alltel Store it worked makes me wonder if it is a setting or an application that I installed on their after I did a backup. Of course, I came from a Blackberry 8830 WE and I wonder if those settings, when doing a backup might be the culprit.

***That did it***

I mentioned to the DTS that I came from an 8830 WE and did a backup before I switched to the Curve. When i did a restore I restored all the 8830's operating system and everything else. That is why I could not receive MMS. The DTS told me to wipe the handheld and then download the operating system from blackberry.com because even though we wiped the handset, I still had the 8830 OS on the phone. After that is complete, I have to go to advanced restore and only restore the things that are not related to the OS, like address book, calendar, browser favorites. She wasn't too sure about the third party apps. I'll let you know.

Hope this helps someone...... Maybe a sticky?