TxtMan is a freeware threaded SMS software for Windows Mobile 5.0 based Pocket PC and Smartphone mobile devices.
It can send and receive SMS text messages and display the messages as a two way conversation, like an instant messenger client.

The software must be running in the background to receive SMS messages instead of going to the built in SMS client.

TxtMan requires the .NET Compact Framework 2.0 to be installed on your mobile phone

Download here