The multimedia message (MMS) settings is normally pre-installed on Sony Xperia Z together with the internet settings. If not, it will be downloaded on the first time you turn on the phone or you will have to do that manually in settings.

To download the internet and MMS settings manually
  1. Go to Apps by tapping on the square icon with multiple boxes
  2. Tap on Settings 
  3. Tap on Xperia™
  4. Select Internet Settings
  5. Tap on Accept

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