Firstly, go to settings > Messages and make sure MSS Messaging is set to on;



Then you probably need to do a reboot of the phone before doing the next bit.

After reboot, go to Settings > General > Network > Cellular Data Network and make sure the APN is filled in for MMS;



Obviously, those APN settings are for T-Mobile so don't copy them. Try the following;

http://shop.o2.co.uk/update/settings.html