Hi Neha
There is no out of the box sms support in MII. However you can achieve the same in several ways.
In Alerts in MII there is a possibility to add a Delivery Transaction. You can configure any MII trx in this place in alert definition. Every time an alert is raised this transaction will be called. To get the details of the alert in your trx create an input variable of type XML and assign the alert payload to this input.
In the trx you can write whatever logic you want. In your case logic to send SMS.
To send SMS using MII you can call several free/paid services which provide such feature via service call. See Twilio SMS - Build SMS Text Messaging Into Your Web Apps | Twilio
Also some carries send sms for an email sent to their email ID. See SMS through E-Mail: Cingular, Nextel, Sprint, T-Mobile, Verizon, Virgin Mobile | a Tech-Recipes Tutorial
There are several other ways like building a custom action using JAVA APIs. See Simplewire Java SMS Software Development Kit - Free Download - Tucows Downloads
Best regards
Partha