Lots of people are now getting the iPhone AT&T MMS update via iTunes. To make sure you get it on your device, make sure to:

(1) Download update in iTunes
(2) Sync your iPhone with iTunes
(3) Then reboot your iPhone

You will then see it in the messages section.

Here are screen shots:

MMS iPhone Update Download Carrier Settings

MMS iPhone Update Download Carrier Settings

MMS iPhone Update Download Carrier Settings