To turn on SMS Delivery Reciept on your Windows Mobile 5.0 based device-

1) Download and install a free registry editor
2) Navigate to HKEY_CURRENT_USER/Software/Microsoft/Inbox/Settings/SMSDeliveryNotification and change DWORD value from the default 0 to 1

If you don’t see a key called SMSDeliveryNotification, try creating one youself (case sensitive) and giving it a value 1.

Note:
-This has been tested on HTC Wizard aka Cingular 8125.
-This service/feature is dependant on your mobile carrier/service provider