Got it to work after a lot of faffing for my Lumia 520:
APN: three.co.uk
Username: leave blank
Password: leave blank
Authentication type: greyed out as 'PAP', which nicely describes this POS flaw in what's otherwise a good phone
WAP gateway (URL): 217.171.129.2:8799
WAP gateway port: 8799
MMSC (URL):
http://mms.um.three.co.uk/mmsc
MMSC port: 8799
Maximum MMS size: 670 (not necessarily true, but the message I was downloading came through with it)
IP type: IPv4v6
Three years too late perhaps, though hopefully anyone with the same question won't need to use a ouija board and a guide dog like I did to get it done.