Depending on the OS version you have, you should be able to send your SMS messages to a seprerate folder. From your e-mail screen, push the menu key and select General Options. You should see a field titled ""SMS and E-Mail Options". Change the option to "Separate". You should see a disitnct, new SMS icon on your display afterwards.
1st Step in Troubleshooting: Do you have a BlackBerry Data Plan?
2nd Step in Troubleshooting: Pull the Battery.