Firstly, you need to make sure your mobile internet works. When I say mobile internet, I mean data and NOT Wifi.
Turn your Wifi off. Then go into your Settings > Wireless and network settings > Mobile networks. Ensure your "mobile networks" / "use packet data" / "mobile data" is switched ON. This is your phones network data, that has to be on at all times to send & receive MMS.
Then try and get on the internet. If this works with your Wifi off, then proceed to send yourself an MMS. (From your phone, to your phone. It does work)
Basically as long as your mobile web works, with the newer phones your MMS settings should also work. But to activate your MMS you must have sent one first, which is the purpose of the above.
Failing that, just call the team if you have any more issues. They'll get it running for you, usually resulting in manually adding settings that you can find on the website.