I would agree that it's not set up properly.
Are you able to send MMSs to other mobiles? If you can't, it's gonna be the settings...
Contact your network and ask them for the MMS settings, or get them online if they have them - I know o2 do.
Nokia History: 3110, 5110, 7110, 7110, 3510i, 6210, 6310i, 5210, 6100, 6610, 7250, 7250i, 6650, 6230, 6230i, 6260, N70, N70, 5300, N95, N95, E71, E72
Current Phone: HTC Sensation - Android 2.3