My missus had the same problem with Orange with a different phone.
Every time she received a picture message - it gave her a link where she could view it. A quick phone call to Orange sorted it - they talked her through what she needed to alter on her phone, so if you don't get any answers on here, just phone Vodafone and I'm sure they'll help you sort it.
I have a N95 too, but I can't help as mine receives piccies fine, so I've no idea what the problem is soz.........



