Unfortunately, you can't update your firmware from the dial-up connection that you use. That is because the firmware that must be downloaded takes too much time to download through your connection AND if at any time the phone gets disconnected, or the phone line gets disconnected, you can end up with a dead phone. So, my advice is that you go to one of your friend or relatives that have a high-speed connection, and update your firmware there.
That's the main reason for which you can't send mp3's directly from the menu. I agree that by installing a 3rd party app., you could be able to send them. Try installing FExplorer, or ProfiExplorer (which is included in ProfiMail), and let us know if that helps you.
Most Nokia phones store sms in their phone memory. Newer symbian phones can transfer the sms to the memory card and keep that as storage. Anyway, in a symbian phone, using FExplorer you can find the messages in C:\System\Mail, although they don't have an extension...
Every Nokia that has symbian can send any type of file through bluetooth (thus including games, provided they have the game installer .sis or .jar). For example, I have a Nokia 6680, and I can send games from ProfiExplorer, and also all types of files (including .mid)
It's probably because the 6600 wasn't able to read mp3's in the first place. For playing them , you installed some kind of 3rd party application or driver, am I wright?
Give more details. Are you using bluetooth, or cable connection, are you using the software that came with your phone, or was it downloaded from the internet? Does your pc recognises your phone, and does it show you that your phone is connected?