Hey i have had this problem for the longest time and i just figured it out. What you do is you go to your contacts, you hit edit and then set as default. when you do that it is going to ask you if you want to set that number as the default, you then higlight the circle of the number you want to set as that persons number and hit set. lastly you hit save and now when that person sends you message you will receive it with their name :)

This may happn in two cases:
1) when contact is not saved in memory
2) contact is saved twice means
contace saved in phone memory as well as sim memory
so delete contact from both and sav that in any one memory either in sim memory or in phone memry :D