Phantom Multimedia Message
You should be able to long-press on the text, and select View Message Details, this should give you the actual phone number it was sent from.

With this in hand you can go through your phone book and double-check that it's not anyone you know.

If it's not then you should be able to contact your service provider and ask them to block messages from that number. Also, many automated text services that use short message codes to send are set to remove you from their list if you reply with just the word STOP in a text message.