Before the SMS Service is configured in SharePoint Central Administration (see previous post) if you open an "Alert me" window you won't have the Text Message (SMS) option enabled.
After the SMS Service is configured the option becomes enabled
You should be careful when choosing the Text Message (SMS) option because the only "When to Send Alerts" option is the Send notification immediately, so if you use this for all lists and for all changes you probably will have a very expensive SMS Service bill :).
