They showed you pics at Messenger without you having to download it?
1) Was it a link to an image? If yes upload your image to
www.imageshack.us.
In this case too you'd have to download the picture in your cache to see them
2) Was it their Display Picture? You can set an image as your Display Picture too
You'll still need to download them to your messenger cache to view them
3) Was it a file transfer thumbnail? You can enable them from any conversation window by Tools > Show pictures before transfer.
Still in this case too you'll need to download the thumbnail for viewing.
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