Just to add:
Basically, each Windows Phone 7 comes with Automatic Data Configuration, so when you boot with a SIM card the phone detects all the correct APN settings for data connections GPRS/WAP/MMS/Internet etc.
However, MSFT allows carriers to disable the ADC, meaning your phone won't install the correct data APN settings...meaning no MMS.
This is really a bit cheeky in countries like Singapore, Australia and Italy where unlocked phone are the norm, or even required to be unlocked by law. Technically they are unlocked, you can use another carrier's SIM...but you can't get the data configuration right so can't use the alternative carrier's MMS.
Of course, WP7 does have an APN editor in Settings > Mobile Network > Add APN...but it only has fields for APN Name, user and password and not all the fields you need to configure an MMS APN as well.
Here is the good news for HTC Owners...the HTC Hub, available for your WP7 handset has a "connection setup" app that allows you to edit your APN and access settings not available to other WP7 users. Certainly I have haven't seen such an app for the LG Optimus 7 or the Samsung Omnia 7.
I needed to use a foreign sim in my unlocked phone, and I could configure data in the APN settings, but no joy with MMS. I changed my Live ID, so had to totally reset the phone...and when it rebooted it somehow managed to pull the ADC settings from the SIM this (second) time.
So if you're having problems with Data AND MMS, try resetting the phone to default and let it reboot, it should automatically use the correct settings after that (assuming your phone is unlocked!).
