The rules for "A" and "An" are not based on the actual letters, but on whether your mouth starts open or closed on the following word (which USUALLY corresponds to vowel/consonant), and in this case, since you say "Em Em Oh Are Pee Gee" not "morpig" (or something), it is "an MMORPG".  There are some other examples, but they don't come to mind.

EDIT: Also, wow, I'm late to the party, I totally didn't realize this was 7 pages long and that I was responding to something from ages ago.