Can't retrieve content when someone sends me an MMS message

Hi folks
I can't seem to retrieve content from MMS messages when they are sent to me. All the settings are there as far as I know and it's also set to automatically retrieve them but it won't seem to work. 
I have a Curve 3G 9300 Smartphone and am on O2. It's a pay as you go but have a data plan and can use the internet and email with no problems whatsoever. 
Any suggestions? 

Well I don't know if it works the same way in the US but here in the UK we have to ask O2 to turn off MMS on our contracts. It should be set up that way by default but is sometimes not. When that is done you get the text asking you to go to the web site to view and including the pin number needed.

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