I work for Twilio, which allows you to add Voice and SMS into you applications using the cloud. So instead of an SMS modem (I've had 'fun' with those myself!) you set use a web server. You can buy a telephone number from Twilio in over 40 countries, and simply configure that number to send the SMS messages to your server - a simple .Net web application is a great way to go. You can host it yourself, or use Azure.
There is a nice tutorial on how to get started here.