Confusing you say ? Well this is why i started this thread. HTC Mess. w/2.5 is only able to receive Text w/ Photos with a few diferent tweaks and cabs.
Here instructions and cabs for this.

MMS Fix (M2.5) (Sprint) (Valkyrie).cab (3.48 MB, 75 views)

Instructions:
1. Download the "MMS fix(M2.5)(sprint)(valkyrie) cab. soft-reset

2. Go into your HTC messaging settings/Menu/MMS server/SampleMMSC2/ scroll down to Connect via select "My ISP",

Scroll down to WAP and select "None".

This will enable you to receive and download MMS without giving a "Unable to download MMS".
This Fix is For Sprint. My understanding other carriers don't have this problem.
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Ok Part 2 is Native Mess.

This is the real confusing part as I Haven't really figured it out yet. I'm told w/ this you can not only receive but also send photos tru text. As said I haven't figured it out how ever i know it involves these cabs.
Arcsoft_MMS_Sprint_5_0_94_128c.cab (4.52 MB, 29 views)

Zenyee Disable HTC Messaging 1.2.CAB (21.7 KB, 54 views)

If anyone can break this Native Mess. Way for us noobs pls do so.
Currently running Juicy R8 w/ Max Manilla 2.81 for Sprint