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What exactly do you mean by not being able to download MMS messages? Where you already an AT&T customer with another device? Did you swap your SIM card from another phone into this phone without activating it through AT&T?
I ask because thats exactly what I did. When I actually went to activate the phone, nothing worked. I was told to use the SIM card that came with the phone and the other SIM card wouldn't be unuseful.