As easy to use and to configure Microsoft Windows Phone 7 is, it has one major drawback: It doesn't allow to customize or change some network related settings. While it's possible to change the Internet APN and SMSC, it's not possible to change the MMS settings from the user accessible settings. This is a design limitation and requires an extra application from the device manufacturer in question. Companies like HTC and Samsung have these apps available today but so far it seemed Nokia hadn't had anything similar available for its Lumia 800 users. At least searches on the Marketplace haven't shown up anything. But as a matter of fact, Nokia has such an application which is called "Network Setup".
As Nokia describes it, Network Setup is an application for users who use more than one SIM card from different operators. The purpose of the Network Setup application is to maintain Internet and MMS services after any SIM card change. When more than one operator network is available, the user is presented with a list to select their preferred operator.
Nokia Network Setup is neither available through a Marketplace Search nor listed under the available Nokia apps but available as a direct download from the link bellow.But it requires Nokia's latest 1600.2479.7740.11451 firmware version which Nokia has started to roll-out last week. Since the roll-out can take up to 2 weeks, it's most likely the reason why it's yet not publically available from the Marketplace.
Cheers ~ Arne