Wirelessly posted (HTC Diamond: Mozilla/4.0 (compatible; MSIE 6.0; Windows CE; IEMobile 7.11) Sprint MP6950SP)
You just need to change your settings in messaging.
Go from the start menu and click programs. Then scroll down and click messaging. Then click on Menu then Options. Then click on the account you want to alter. Then change your download schedule and/or set messaging to download entire message and set it to download attachments if you want.