Exploit/MMS.A is a corrupted MMS message that causes a buffer overflow in Windows Mobile devices that use versions of Arcsoft MMS composer predating August 2006. The exploit code is device specific, so that if the exploit is not crafted for the particular device type that receives the corrupted MMS file, the only result is a crash of MMS reader application. Thus this exploit is low risk.
Depending on the settings of your F-Secure security product, it will either automatically delete, quarantine or rename the suspect file, or ask you for a desired action.
More information on the scanning and removal options available in your F-Secure product can be found in the Help Center.
You may also refer to the Knowledge Base on the F-Secure Community site for more information.