There is a carrier update that will enable this on jailbroken iphones.
I don't know if the download link still works, I am at work so I can't check it. If it isn't valid anymore you should be able to find the carrier update file at macrumors.com
http://dl.getdropbox.com/u/29849/ATT_US.ipcc
2. Close iTunes (if it is already open)
3a. Click Start > Run > type:cmd then press enter. Run this command: "C:\Program Files\iTunes\iTunes.exe" /setPrefInt carrier-testing 1
3b. (If you're on x64 Windows) Click Start > Run > type:cmd then press enter. Run this command: "C:\Program Files (x86)\iTunes\iTunes.exe" /setPrefInt carrier-testing 1
4. Open iTunes.
5. Hold the shift key while clicking update under your iPhone in iTunes.
6. Change the file type to “iPhone Carrier Configuration files” by clicking in the the bottom right corner and switching to *.ipcc. filetype
7. Find the file of the carrier update you just saved to your computer in step 1, select it and click open.
8. Your iPhone is now updated. Make sure to reset your phone, and when it restarts, MMS should be working.