The Nokia web site offers you a tool for receiving the correct connection settings from your own operator. Simply follow the instructions at www.nokia.com/phonesettings.

First read and accept the terms. Then select Country > Network > Phone Model > MMS Service Provider > Mobile Number. When you receive the settings to your phone, save and activate them.
 
 
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Automatic Configuration of MMS
 

Create and Send an MMS
 

View and Reply to an MMS
Nokia 7260 Interactive Tutorial