not sure if this works or not as my provider blocks MMS but try going to the SMS & MMS folder then BB key then options then general options ...once there mine shows SMS and Email inboxes and you can choose to combine or separate them assumgin the MMS should be there as well
I don't think there is a way to separate them but you can view only the SMS ones by using alt+s in the messages folder and only MMS with alt+m from the messages folder...
actually those shortcuts work in the e-mail folder too assuming you have it separate.