Depending on the telco the phone is on it should either:
Arrive as an SMS with a link to a site where you can view it.
or
Do nothing.

While I have not tested this I am quite certain of it as there is a wappushd running that handles incoming WAP Pushes (the notifications about MMS is sent by this means). To actually view (or do whatever with) the notifications you would have to register with this daemon via the DBUS API and process it.