MMX instructions will be executed regardless of whether or not the motherboard supports MMX processors. The instructions themselves are not a function of the motherboard.
If anything, voltage should be the issue, as Pentium MMXs use a split plane voltage (2 voltages 3.3 and 2.8) rather than the single 3.3 volts of the Pentium Classic.
See if you can find a BIOS update for your motherboard, and see if there is a jumper or setting in the BIOS for MMX (aka P55C) Pentiums. Also make sure that the voltage is set correctly, or you risk damaging your CPU.