Similar questions have been asked here many a times.
This is the CodeProject search results link for similar question:
http://www.codeproject.com/script/Answers/List.aspx?kw=sms[
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You would need a modem to send and receive SMS. Connect it to your system. Develop a program (may use existing libraries) to read the SMS. Then it's basic programming to save the available data into database.
This was the quickest answer I could give you here in 'Quick Answer' forum.
Read the questions from the above link, you will find a lot of information. Start doing it and come back in case you have 'specific' issues. :thumbsup: