The answer to this really should be a sticky, as its visited so often!
Its down to the theme you're using. Some operator's themes separate SMS/MMS messages into a separate mailbox, some dont.
I changed my theme to O2's as that has an SMS mailbox, an Email mailbox and a 'messages' mailbox. 'Messages' still has everything in it, but the other two have their respective types in them too, so I just hide the 'messages' icon.
To load another operator's theme please look back through the threads here, there is one I was part of about a week ago which had all the info in.