Correct. What RumoredNow is referring to is the MMS APN settings. Usually, they're automatically setup by your carrier. Like he suggested, do a search for "whatever carrier you're using's MMS APN settings". On Windows Phone 8.1, enter the given values in SETTINGS/cellular+sim/SIM settings/add MMS APN.
Note: the location of these settings may vary depending on phone model and OS/firmware version.
(Provided of course, your carrier doesn't have this section of settings locked.)