Though unlocked phones offer you the freedom of switching carriers on a whim, they can require a bit of tinkering before you can roam around the world. In most cases, you'll have to program the phone with the necessary multimedia settings to browse the Internet and send an e-mail or multimedia message.
The settings are available from your carrier, but if you prefer not to talk to a person, there are options available online. Sony Ericsson offers a very handy tool on its Web site that lets you configure your phone in a just a few minutes. After entering your handset model number, carrier, and phone number, Sony Ericsson will send you a text message with the appropriate settings. It then takes just the additional step of installing the settings on your device. To find the tool, look for the "Support" section on Sony Ericsson's Web site.
Nokia had a similar tool on its site, but it seems to have passed into oblivion. The only replacement information that I could find was a rather unhelpful list of instructions for downloading the settings directly onto your phone. If you've found a more helpful tool on Nokia's Web site, please let me know.
As an alternative, I found a site called ConfigureMyPhone that promises to deliver settings for your mobile browser, messaging, e-mail, and Java. It supports carriers in the United States, the United Kingdom, and Australia. The tool is intuitive and will be familiar to users of Sony Ericsson's service, though each setting delivered to your phone costs $2.50 each.
Have you found other third-party sites for getting your multimedia settings? Let me know in the comments.