How to get a message reciept?

I have a Samsung D900i, which i think doesnt really matter but what I cant seem to do is to get a reciept(notification that my message has arrived on the phone of the person who is recieving it) to come back to me when I send a text message to someone. I tested this out by sending messages to my sister, the message comes to her phone but I dont get a notification of it. It didnt seem to be turned on by default, I had to go to menu>messages>settings>text messages>sending options and then from there I check marked the 'Request delivery reciept' box. But it still does not work, and those seem to be the only settings in the phone which pertain to a notification of text arrival. When I send messages I go to Send only, not save. Does that have something to do with it? Or maybe it has something to do with AT&T, could anyone help me out, would apreciate it.