You cannot receive a notification when a person receives SMS, but you can enter a special URL in this SMS, which will then launch your application when pressed.
In your Info.plist, you must define several key-value pairs: 
And then your application starts when you click on the url:
yourapp:
as you can see, you can pass parameters to your application.
In your application, you receive a special event when your application is launched from a URL.
4.1 and earlier:
- (BOOL)application:(UIApplication *)application handleOpenURL:(NSURL *)url {
** 4.2 and later **
- (BOOL)application:(UIApplication *)application openURL:(NSURL *)url sourceApplication:(NSString *)sourceApplication annotation:(id)annotation {
See the documentation for more details: "Implementing Custom URL Schemas"
Edit after WWDC Keynote 06/06/2011
The new iMessaging API now supports messaging on the iPad, as well as receipts to see if your message has been delivered.
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