First you have to "save" the MMS picures as just pictures on their own (use the Xperia menus to do this). Remember where you saved them.
Now install
Sony PC Companion on your computer:
http
/www.sonymobile.com/gb/tools/pc-companion/
You can now plug your Xperia in to your computer using the USB charging cable. Windows Explorer should now show two new drives.
1) The Xperia's internal storage
2) The microSD card in the phone (if there is one).
Click on the appropriate drive to find your pictures where you saved them.