Sounds like MMS is not activated for your account. I just changed my plan to my company's plan as they will pay for it, and they disabled MMS. It caught me by surprise as it used to work before, then found out work had crippled my plan features . I can't bitch too much because they pay for it so....
MMS can't be turned off completely though, I can send pics and receive most pics. Occaisionally I get one that wont come through, but no vids come through at all. I also can use the MMS to text to an email address.