I have a SP3i, but with Vodacom, and I also had issues receiving or sending MMS's. I might be stating the obvious, but just make sure you have the correct operator settings (http://www.leaf.co.za/downloads/operatorsettings/Cell_C_Settings_SP_V1.4.cab, then, in Configuration ->MMS Settings, the "connect via" option defaults to "Secure WAP network". Change it to use "The Internet".
I put it anywhere - then using System Management -> File Manager, I install the CAB by just "clicking" on it. If I remember correctly, the CAB file gets removed after installation - and if not, you can remove it manually by just deleting it.