Actually, calls and SMSes are completely different. On certain SIM card, instructions can be send by the operator directly to the SIM via some particular SMSes, called SMS PP Data download. That is valid if the card supports Sim Application Toolkit feature.
So, the next question is : is your card SAT enabled (it's not really common in UK). To check it, I need you to check the main menu of your phone (with the SIM card in the phone). Do you have an entry between 'help' and 'organiser ? (it would be something added by your network operator)