I get the "red x" all the time here.  It has everything to do with MSN when a picture of some sort is involved.

I learned from a friend of mine who is a tech that MSN sets their storage threshold very low, around 250 kbs; anything over that won't get sent or received.

Do you do a copy and paste? That could be the problem.Do you save them in an album and leave them there? If you delete them from the album, then we get the red x. It could also be the way you have them saved. In a group I am in they have psp challenges and sometimes when I get the red x there, I have to keep going back unitl I see the picture, then I have to open it in paint and save it from there.