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:
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.