Here are the updated settings you should follow, in order for MMS to work again. In the settings below if you don't have connection setup tool you can get if from the market.
From the home screen, scroll down and tap Marketplace.
Tap HTC Apps.
Scroll down and tap Connection Setup.
Tap Install.
Tap Install.
Tap the Home key.
Scroll right.
Scroll down and tap Connection Setup.
If only one setting is found, tap done.
If more than one setting is found, select the correct settings, and then tap done.
To manually select the settings, tap ...
Tap manual select.
Select the relevant details and tap done.