By default when the push daemon gets info from the carrier about a new MMS message (via an SMS-like message), it stores that data in the fMMS database, and then (based on settings) may try to retrieve the data portion in the background. If you mean you don't want it downloading MMS in the background, jut change the network setting to polite. Then it will always ask before downloading. The push message itself (the SMS portion of the MMS) is sent by the carrier through, and there's no way to stop those, short of going off-line.