Inappropriate Use of Digital Media

I had a colleague early in my career who sent an inappropriate image to my work email. I'm not sure why this person thought I would be ok with receiving something like that (let alone on our work email), but I asked them not to send me anything like that in the future. Being early in my career, I was unsure if I should report it or not. At that point I was still trying not to make waves. In hindsight, I feel like I should have let someone else know what happened.