If you are experiencing a high volume of SMS Spam messages on your phone, here is an excellent source of information from David Pogue's New York Times article "How to block Cellphone Spam".
I feel lucky, up to now I have had very few Spam SMS', but then again I give out my cell phone number as little as possible. For us T-Mobile customers the options are in the Communication Tools section of my.t-mobile.com. Here is the T-Mobile excerpt:
"T-Mobile: T-Mobile doesn't yet offer a "block text messages from the Internet" option. You can block all messages sent by e-mail, though, or permit only messages sent to your phone's e-mail address or alias, or create filters that block text messages containing certain phrases. It's all waiting when you log into www.t-mobile.com and click Communication Tools."
I am not sure you need an option to block text messages from the Internet, but it would not hurt to have it...