The information for setting up the SMS Gateway configuration in Afaria is available here (page 42):
http://help.sap.com/Download/Multimedia/pdf-afaria7sp7/Configuring_Afaria.pdf
You must have a special modem provided by one of the carriers for SMS, or for SMPP, I believe you need to sign up for a service from a 3rd party.
SMS Gateway is not necessary for sending files and running channels. Clients can run with inbound sessions at regularly scheduled times or manual connections, so it is not necessary to perform an outbound notification to tell the device to connect to the server.
Many customers do run without using the SMS Gateway (I believe, due to cost of the modem/service from carriers), but it does afford some additional reachability for outbound notifications.