Apple – Support – Discussions – MMS missing after installing 4.0 ….  The solution for many of the posters on this thread was to restore the phone.  If you are feeling adventerous you might try this method from CHAARUZU.

“Solution, had exact same issue! You will have to restore sir lol.

1. Restore ( it should ask to back up, so yes back up)
2. Phone will go through process of restoring!
3. Phone returns and says activated ( but you have the option the restore from
backup and set up as new phone)
4. Select “set up as a new phone”
5. Go through that process.(5 seconds)
6. i believe it will begin syncing every app to phone.
7. Cancel sync, go to messege app, MMS icon should be back. Safari should be
working (test on 3G network Not WiFi)
8. Finally check to see if your contacts are back( mine were so i assume yours
will be) No need to back up phone if your contacts are on.
9. Sync all that you desire to be syncd!
10. Jump for Joy! if you made it to 10!!!! lol hope it works!!!”