When I got my new phone, a HTC P4350, I quickly managed to make and receive phone calls and text messages. I even connected straight to the Internet over WiFi and (slowly) over GPRS. It never occured to me that sending a MMS, a picture message, would be so complicated.
With a “Pow!” and a “Zap!” I asked their technical support people and got the answer. It works in two parts, firstly the GPRS side, which you can find in the Connections tab of the Settings screen: