My girlfriend had exactly this problem today... here's what happened:

My girlfriend was given 2 different models of Blackberry by her brother. She used the BB Pearl for a while to see how she liked it. She went through the setup wizard on the Pearl and set up email accounts etc on that device.

After using the Pearl for a couple of days, she decided to use the Curve instead. She put her SIM card in the Curve and continued to use it without any trouble.

I sent her an MMS message today, and all she got was a message from T-Mobile saying she'd received a message and if she wanted to view it, she'd have to log on to her T-Mobile account (the same message you got). A quick Google showed that the MMS pictures get dumped in your T-mobile "Album", but that's neither here no there, as I later fixed the problem.

Another Google search showed that if you send an MMS to yourself, it registers the phone on the network, and MMS messages then come to your phone, instead of the T-mobile "Album" application on TMO's web site.

She sent herself an MMS, but it never came through. I used her phone and ran the e-mail setup wizard again. I clicked on "Add an e-mail account" and the next thing it said was something to the effect of, "Your account was registered with the following PIN: 123ABC. You are currently using a device with the PIN: 987XYZ. Do you want to associate the your account with this PIN?" I selected YES, and sent an MMS from that phone to her own phone. Suddenly she got 15 e-emails and 19 Facebook updates, and all MMS messages sent from that point forward went to her phone.

So... try running the Setup Wizard again, and then send yourself an MMS message (with an attached photo). It's quite possible that your T-mobile account is confused and TMO is trying to send MMS messages to your phone, using your buddy's PIN... which won't work.

Good luck.