You might have problems with your connection or with your phone settings.
First check what connectivity you have. Is it cellular or Wi-Fi? As there are certain cellular networks that don’t allow sending mms due to APN settings.
You may try to check your settings. Then go to messages and look for SMS/MMS. Make sure that mms messaging is "turned on" as it will allow you to send pictures through MMS protocol. You can also call your service provider and have it "turned on" for you.
If it's still not working, then restart your device (power off, then turn it back on), or update your software (settings - general - software update). Those might solve the problem.
Want to do more than just make calls and send messages with your smartphone? Check out some how-to guides that will walk you through some common tasks you can perform with your phone, step by step at Cellphones.about.com.