Once the SIM has been changed you need to restart the device and then go to settings -> access points and select 3 UK. This should then solve your MMS issue.
Have you tried this?
There is no settings -> access points... ?
Found the problem, and a solution
Here. Might help people who unlock their phones. This describes the fix for Virgin Mobile, but works the same for other carriers.
And here's the fix .... finally !
1) Delete any existing Internet & MMS APN profiles stored in the handset, by tapping: Start, Settings, Mobile Settings, and scroll to the bottom of the screen and remove each apn manually by tapping edit, then tap the delete icon (looks like a waste bin) at the bottom right of the screen (you might need to tap "..." to reveal the option.)
2)Once all Apn's are removed, make sure the phone is connected via wifi, and open the following URL in Internet Explorer in the handset: (it may be easier to email yourself these links so you can simply open them on the handset).
http://www.windowsphone.com/s?appid=ce3895c7-01d0-4daf-a4c3-25c10463942d
Follow the instructions on screen to install the Nokia update.
This will add a new settings menu to the handset "Access Point", which is missing on phones bought from Phones4u or the EE companies in the UK (like mine!).
3) Following the above instructions again, but this time for the following app - "network+". Again, this is a Nokia settings update downloaded through the handset's Windows App Store/Marketplace:
http://www.windowsphone.com/s?appid=62f172d1-f552-4749-871c-2afd1c95c245
4) And the final step is to download the app called "extras+info" :
http://www.windowsphone.com/s?appid=2377fe1b-c10f-47da-92f3-fc517345a3c0
Once all the above are done, the phone must be rebooted.
5) Now go to the settings menu, and scroll to the bottom. You should now see a new menu called: "Access Point". Tap it and you'll end up with a screen listing any APN's the phone has already found from the sim card (or previous sim cards inserted). Crucially, Virgin won't be listed at first, and even if it is, you'll need to amend the apn details.. because if you try adding a new apn named "Virgin", you'll get a message saying "Virgin already exists", even though it's not showing in the list of apn's. So the workaround here, is to name it virgin with a small v. Then enter the APN settings for both internet and MMS found here:
https://virgin.wdsglobal.com/phonefirst?step=phone.vm&phoneId=5143&captchaEnabled=true&contractId=28...
(on that link: References to "Wap Gateway Address" and "Wap Gateway Port" means "Proxy address" and "Proxy Port" as shown in the handset!)
6) Once done entering the details, make sure to tap on the tick icon at the bottom.
7) Now "virgin" should be displayed in the list of access points. If not already showing as "active", simply tap and hold on "virgin", and select "activate" from the pop up menu. It should now say "active" in red.
8) Hit Start button, then reboot, and then send yourself a picture message (this is required in order to activate/provision MMS on your Virgin Mobile UK account. Enjoy!
