We haven't gotten to the point yet with picture messaging where companies can guarantee delivery of pictures across networks never mind across countries.
The reason you're being directed to the web is because your network doesn't recognise what's being sent to it, or can't format it for your phone. So instead of dumping it, it's being made available on the web.
You're actually lucky it's getting that far. I've had problems with this before and rang up to complain. I was sending pictures to the UK and getting charged, and the pictures were disappearing into the ether.
They gave me the excuses above, but did refund my money with almost a tone of "silly you, didn't you know, but you'll know for the next time".
So, basic answer is that there's nothing you can do to change it.