I'm not sure how familiar you are with editing a registry on a computer or not, but your phone has a Registry where many settings are saved, and can be set or modified. This includes some critical settings for the phone, so you will want to take some care while doing this, but it's a fairly simple process.
First you will need to download a registry editor for your phone. I use PHM RegEdit, which is completely free. You can find more information about it here, including some screen shots:
http://www.phm.lu/Products/PocketPC/RegEdit/
If you want to use this editor you can download it from there as well, you can install it on your phone using ActiveSync (which should have come with your phone). Or if you browse to the website I linked to using the MDA's IE browser you can download the application directly to your phone. You will want the Pocket PC 2002,2003 (ARM/PXA) Version if you download it on the phone. I have had some trouble getting the file to actually download on my phone a few times, but it usually works on the second or third try for me, but if you have any problems getting it let me know and I can find another link to download the file for you.
Once it is installed, open in and browse to: HKEY_LOCAL_MACHINE\Software\Microsoft\Inbox
ONce there you need to create a new key/folder and call it Settings.
Once there you will need to create a new DWORD Value and call it SMSNoSentMsg and set the value to 1 (the default should be 0)
Once you do this you will need to soft-reset (ie. restart) your phone. You can do this by either pressing the button on the right side of your phone using the stylus (it's recessed into a hole) Or you can hold the power button on the top of the phone until the phone turns off, then press it again to turn the phone back on. Once it powers on you should be all set.
If you have any questions, or want to know of anything else you might want to change let me know, while I know i don't know everything, I know quite a bit because I spend a lot of time messing around with my phone. I've had to hard reset it once too lol.