TekChik, you have to setup an SMS service center number.
This is where your message is sent to and your message is forwarded from there to its intended recipient.
Call CS and they will give u the service center number.
Usually this number comes with the SIM card but I guess yours didn't, which I find weird.
edit - what phone are you using? If its a Nokia, the Service Center number entry can be found in Message -> Settings -> Service Center I believe.