Sony Ericsson Xperia X10 :: MMS And Internet Charges - Double Charging?

I have recently encountered a problem with my Xperia X10, where I activated my MMS setting to receive MMS but in so doing, have apparently turned on the Internet access as well. In other words, everytime I turn on my setting to receive MMS, it appears my X10 automatically connects itself to the internet. If I turn off the internet connection, I end up not being able to receive my MMS messages .

My dilemma at this point is that when I received my last bill, it turns out that my phone regularly connects to the Internet on it's own (even in the middle of the night) and I got slapped with a large charge for Internet usage that I did not initiate. I was told that either I turn off the MMS Setting (to turn off the Internet) or I would forever be charged with internet access. Worse, I was told that whenever I need to access or receive my MMS messages, I would automatically be charged with connecting to the Internet aside from the regular charge of MMS.

I would like to know if what they told me is correct? It seems unfair that I will be charged 2 fees just to access only the MMS feature. Is there a way to be able to access only the MMS without accessing the Internet in the same breath?