Crazy as it seems but ive tried that and it comes up with View Picture, Forward Message and Delete Message. Ive tried viewing the picture and it gives me the option to Complete action using - Album or Astro Image Viewer (which I have installed) none of which will let me save the image
Solution found guys (thanks to my swedish friend zleepy )
Go to the android market and download this app: ChompSMS (free) once downloaded enter it and and move forward into wanted conversation (where you have the pic of course xD ). from here, just long-press the picture and you should see this: "save attached to SC - Card"