There are two ways to do so.
1) Buy an SMS modem (Siemens M20 or similar) and connect it to the RS232 serial port. Use MSComm control to access the modem. Send apropriate AT commands to the modem to login to a service provider and then to send as many SMS as your SIM card allows.
2) Make use of an internet SMS service. Depending on the provider you'd have to deal with one or more HTML forms to fill in. You will possibly use the WebBrowser control or even INET control. Here nearly everything depends on what provider you are using.
wow, I was never aware that a gadget like an SMS modem would exist at all. They are not really common, are they?
The Win software I have for my Motorola V3 mobile allows me to send SMS too. But I don't suppose that this software has a COM interface or something like that, that would allow it to be employed by any other software.
I would have always thought of your option #2 in the first place, especially when the software I want to write is supposed to be shared in some way. This would not require the user to own some particular hardware. He would still need an account at the SMS provider, though. I would not expect these providers to do that for free and anonymously, at leat not for a considerable period of time.
Internet SMS services are quite common and rather not free.
We build a machine which is able to send error and progress messages by email and optionally by SMS. After our experience SMS providers do change often or even change their login screens so that things change quite a lot and you have to implement different protocols all the time.
Ans SMS terminal (or modem) is quite common I suppose. We decide for this option because this peace of hardware never changes protocol.
You own it and you can send SMS like with any cell phone as long as the SIM card has credits.
There is howver another option which I did not mention, which is an email service.
Some providers offer that you can send an email (in a specific format, containing the SMS and the phone number to send it to) which they pass on as an SMS. This service usually is also not free, but it requires nothing more than an email control like SMPT.ocx or the use of MAPI to send an email.