O2 (UK) MMS on Nokia 3200

I'm pretty new to MMS as this is my first MMS capable phone, I struggled to
sort out O2 Active, because I kept being told to 'Check Settings' till I
realised I had to download my O2 Active settings (via text message) - now
I've sorted that out. Now though I'm confused as to using MMS in the
messages menu of my phone, when I try to send a MMS message, I'm told again
to check settings, when I look what the settings are set to, it is 'Set 1'.
I was under the impression that my O2 active settings covered MMS too, as
when I downloaded them it said it covers WAP/GPRS, O2 Active and MMS. Do I
have to download a different set of settings for MMS? I'm totally confused
about this. Any help greatly appreciated.