There are services which can let you to receive sms messages as emails - but you have to pay for each message received.
Alternatively, you can use a special software that can receive sms messages through a mobile phone or GSM/GPRS modem attached to a PC and automatically forward received messages to an email address or save them on a hard drive. E.g. http://smsenabler.com
The advantage of such a software is that you receive messages for free (in most countries inbound messages are free)
The disadvantage is that you have to have a computer with a mobile phone/modem attached and the software installed.