There's no way to protect the MMS message as such at the moment, but you can protect the content you send inside the message. If you have this protected content included in your MMS message, it cannot be forwarded.
Examples of protected content types:
audio/midi
audio/sp-midi
image/vnd.nok-wallpaper
application/java-archive
I suggest you start with reading "How to create MMS services" -document, http://www.forum.nokia.com/main/1,35452,1_2_7_1,00.html -> Technical. After you've read that, download "Nokia Phone messaging characteristics" -document, http://www.forum.nokia.com/main/1,35452,1_2_7_1,00.html -> Technical. It explains the content types supported in different Nokia terminals.
After you've read these, go to the tools section and download MMS Java Library 1.1 and EAIF emulator from http://www.forum.nokia.com/smsforum/main/1,35452,1_2_7_2_2,00.html. You also might want to test your messages. Downlaod "Nokia Developer's Suite for MMS" and install Series60 emulator from it.
There is no way to protect the MMS message in current standard.
And for the content protection, at this point of time different manufacturers apply their own ways for implementing this.
However, there is an open protocol, Digital Right Management (DRM), defined by OMA, which aims on this topic.
For relative information, refer to: