Nokia have removed the Over The Air sending of settings as the majority of handsets come pre-configured

Step 1: Test to see if your device needs MMS settings
If your Nokia device has a camera, take a picture and send it to your own number. Wait a moment to see if it arrives.If you receive the message, your MMS settings are fine. Move onto step 2. 
If sending fails, skip to step 3. 

Step 2: Test to see if your device needs mobile browsing settings
Press the zero key of your Nokia device for three seconds.If your device connects to your operator site or any other home page, you have the settings. You don’t need to download settings - just start browsing and messaging! 
If you receive an error message, move onto step 3. 

Step 3: Get settings from the Settings Wizard
In case you have the Settings Wizard on your device, follow the next steps,:
Press the Menu key on your phone. 
Scroll to and select Tools. (Note: The location of the Settings Wizard varies according to device) 
Scroll to and select Sett. wizard to launch the Nokia Settings Wizard. 
Scroll to and select Operator. 
Follow the wizard's on-screen steps to automatically configure the phone with the required operator service settings. 
Repeat steps 1 and 2 above to verify that the settings are now working correctly.

Alternatives

A quick and easy alternative OTA service is now provided direct by WDSGlobal as a separate service at http://www.configuremyphone.com – this is charged to the sim at £1 per settings sent