When I flashed my HTC Desire HD to CyanogenMod 7, I lost the feature to both send and recive MMS. After some looking around, poking here and there, I finally solved it rather easy. The issue was that the URL for the MMS settings in the Access point names (APN).

1. Go to Settings -> Wireless & Networks -> Mobile Networks -> Access Point Names.
2. See if the MMSC, MMS proxy and MMS port is right by comparing them with a list of settings, based on your operator.
   Sweden: http://www.swedroid.se/wiki/index.php?title=APN-inst%C3%A4llningar
   I have only tried this for a Swedish operator, and I haven't a list with the rest of the world, so just google for 'APN list android'.
3. Change it if somethings wrong and then you're good do go.

Example:

3 Sweden
MMSC: http://mms.tre.se
MMS proxy: 172.016.053.011
MMS port: 8799