as prking says, there are two different aspects to using MMS on a Vodafone handset.
Firstly, the SIM card itself needs to be provisioned for GPRS (internet) and MMS (multimedia messaging). (GPRS is required for MMS to function). Vodafone Customer Services can do this for you at network level on an internal system, sometimes it takes 48 hours to take full effect.
Secondly, once the SIM is provisioned, the settings need to be installed into the handset itself, either manually or OTA ('over the air') the second simply being where a text is sent to your handset which automatically installs the information when you save it.
I work for Vodafone so if you have any problems you could always drop us an email at
www.vodafone.co.uk > 'contact us' then 'email'. If you leave the short-code FIT135 in the body of your mail this will also route you through to a team who monitor customer feedback online. This team would be able to help you out if the problems continue.
Hope this helps + gives a little more information for anyone else searching on here regarding MMS / internet set up problems.