Following mobile sets support AT command sets:
Nokia 6630, sony ericsson t610,sony ericson t68, nokia 6600,nokia 6210.
For nokia u can install nokia pc suit and connect it through via usb cable. Nokia just support sending text message from pc to cell phone, it does not support receiving sms AT commands.
AT commands tutorial is available here:
http://www.developershome.com/sms/atCommandsIntro.asp
if u want to do two way communication then sony ericson t610 is best.
Good luck.