There are various notifications from Facebook like new friend request, new page request, new wall post or comments. The general setting is that these notifications are are sent to your email based on which all notifications are configured. Facebook also provides an option to get these notifications through SMS on your mobile phone. To use the SMS notification, you need to activate the service from your mobile phone, for this open the account settings from the Account link.
Under the My account, select the Notification tab.
In the notifications, click on the link Send notifications to my phone via SMS link.
Select your country and the carriers available. If your mobile service provider is not listed, you might not be able to activate this service.
Next step you need to send an SMS to the number shown on your screen and it will reply back with the code.
Enter the code which is send back to your mobile phone and click confirm.
Once you have validated, you can select the check box against SMS notifications on the notification tab.