Hey, just sent 'AT' without quotes, and if u receive 'OK' as a reply from your nokia phone, your phone supports AT commands.
Before you send messages using AT commands, you must define the message centre number, which depends on your operator i.e. what company sim card you are using (airtel, docomo, etc).
let me give you an example, suppose you wish to send an sms to a number, say +919822334455. Lets assume that you wish to message him the text "HELLO, This is a test msg" without quotes, you must send the following AT commands
AT {press ENTER} (send this, just to test)
OK (your phone MUST reply this, else AT commands won't work)
AT+CSCA="+919032055002" {press ENTER} (double quotes included, assuming TATA Docomo, this AT Command sets the message centre no.)
AT+CMGF=1 {press ENTER} (This command sets the sms mode to TEXT mode)
AT+CMGS="+919822334455" {press ENTER} (recepient's mob no., double quotes incl)
HELLO, This is a test message (your message)
{NOW PRESS CONTROL+Z, i.e ^Z}
(your message should now be sent)
NOTE:
1) double quotes and +91 is necessary, it doesn't work otherwise.
2) if you are using a C program, then ASCII values of ENTER KEY is 13 and of ^Z is 26
3) ^Z works in Hyper Terminal. Doesn't quite work in few other terminal clients like flash magic's
4) Setting the message centre no. and sms mode is necessary before sending any sms
5) message centre no. can be found in the message settings of the phone, and is also written in the small booklet you receive when u purchase the sim card.
6) DO NOT google, for message centre nos. as each state has a diff msg centre.
Good LUCK!!!