Although the file appears to be a JPEG or MP3 file when you try to open the file it will start an instance of the application installer. At this point the sensible user would cancel the install process.
Phones can not be infected unless the install process is completed. This requires you to go through several dialogs confirming that you want to install and unknown application.
We would advise you that you never install an application of unknown origin, especially one you receive unexpectedly via Bluetooth or MMS.
All recent S60 handsets (S60 3rd Edition) are unaffected, the virus is not compatible with he new version of the software platform. Changes in the platform's security model mean worms of this type are no longer possible. There are no known virus of worms targetting S60 3rd Edition phones.