The oft-given advice by the forum team is to send a picture to your own number to automatically set up picture messaging on your handset. This will onlly make a difference for picture (MMS) messages that are sent from now onwards.
If you have been sent a text message directing you to the poor excuse for a retrieval website, you need to access it from a computer.
You need to make sure Java (I think) is up-to-date.
You should try all six combinations of your number (07xxx xxxxxx, 447xxx xxxxxx, +447xxx xxxxxx, 07xxxxxxxxx, 447xxxxxxxxx and +447xxxxxxxxx).
Where it says "ID" in the text message, that's the value you key in to "Password" on the website.
I seem to recall that when you actually see the message header on-screen, you need to tick the box to its left then click another button, but it's so long ago since I needed to do this that I can't remember the actual label on the button. If you're still struggling, by all means get in touch by PM and I'll see what I can do to help.
Oh, one other thing - I couldn't get it to work using Firefox, I had to use Internet Explorer.