In SQL Server 2005 you want to use Database mail not SQL Mail. SQL Mail is the old mail setup which uses Outlook to send the email, and works much better with Exchange than POP3. Database mail uses SMTP to send the emails.
The easiest way to send email is via the sp_send_dbmail procedure in the msdb database. This way you can pass in a large number of parameters to have it send what you need it to.
Out of the box there is no way to send an SMS message. If you cell phone has an email address you can send to that email address. Normally it’s your cell phone number @ your cell provider.