It seems to depend on which email system sends the picture. I sent photos from a phone to my gmail account - I could not open that attachment (gmail is forwarded). I used Outlook and attached the photo and sent. It came into the BB showing the paperclip and offered the option to open the attachment. I did and was then able to save the photo and subsequently use it as my background.

So try different methods of sending it and I'm sure one of them will work.