If this is a mail that was sent to both you and your colleague, then my best guess is that the two of you have different settings for your inbound mail. If your copy of the message is going through a format conversion on the server, it's possible that the firewall is blocking the HTTP image retrieval on the server. If your colleague's copy is not going through the same conversion on the server, then it would be his own computer that is retrieving the image and the firewall is allowing it.
So... Check your Person document in the Domino Directory and look at the setting Format preference for incoming mail. (It's on the right side of the Basics tab.) If it is set to Prefers Notes Rich Text, and your colleague's Person documentis set to either Prefer MIME or Keep in senders format, then that's the most likely answer.