Great
That was it!!! Port 80 did the trick!! Thanks a lot!!

The whole working configuration for Elisa Finland is the following:

First I created the new APN with fAPN and named it "Elisa MMS"
Then edited the APN as follows:

Connection name: Elisa MMS
connection type: Packet data
Access point name: mms
User name: <blank>
Password: <blank>
Prompt password at every login <unchecked>

Proxies
Use proxy <checked>
http proxy: 213.161.41.57
- Port number: 80
Automatic configuration <unchecked>
Web address: <blank>

IP Addresses
Auto retrieve IP address <checked>
Auto retrieve DNS <checked>

then in the fMMS
APN: Elisa MMS
MMSC http://mms.elisa.fi
Resize image width: 300
Your phonenumber: +35850xxxxxxx

Then I connect to the Elisa MMS APN and insert the phone number as: +35850xxxxx and a message, select a picture and press send and it works