To set up your phone for both internet and MMS, delete any previous APN settings that your phone might have. Go to market place. Search for "Network Setup", download and install it.

Please note that your windows phone software has be updated to the latest one available.

Once installed click on "+" located at the bottom to create a new APN name it RPM

Under the "Internet APN" section enter the value below:

Access Point Name: att.mvno (leave the rest blank)

Go to MMS APN section and enter the value below:

MMS access point name:  att.mvno
Proxy Sever/Address: 66.209.11.33
Proxy Port: 80
MMSC : http://mmsc.cingular.com

Click on save and select the new apn from the drop down list (RPM).
Restart you phone and you should be able to send and receive
picture messages.