Help problem with mms on my htc desire hd

[boscawen46]

I recently bought an HTC Desire HD and had it unlocked from TMobile to sim free, I am now on o2. Basically I am very happy with it and it does a pretty good job.
I have one niggle that I hope someone can give me some advice on.When I am sent a MMS message it does not appear directly on my phone but a message comes up notifying me that there is message for me but that I need to go to an o2 website and enter a password(given to me) and view it that way. This is obviously a performance and would rather I could open it directly on my phone. I have tried many APN settings ,some provided by o2 , but the same thing happens. I have sent several photos to my own number from my phone to test this
Any advice would be welcome.
Thanks

 

[El Presidente]

When I finish night shift, I'll type out the APN's that work for my girlfriend (She's got the San Francisco on O2, but the settings should be the same).

Also, I saw this, it's a long shot, but as the mms setttings are connected to the mobile internet ones, it could be worth a punt?