The difference between instant messaging (IM) and SMS messaging is that IM enables people to interact in real-time. Using IM you can see when your friends are available and message them. DM is two-way; you can carry on a conversation through text. Examples of IM clients on the desktop are MSN messenger and Yahoo! messenger.
Some mobile devices support instant messaging. The type of messaging depends on your service and your device. Some carriers enable users to IM with other handsets on their network, while with other devices you can actually interact with MSN messenger and Yahoo! messenger users. Interacting with users of MSN and Yahoo! services requires that you sign up with one of the services and that you have a compatible device.
Even if you don't have a device capable of using IM, you can set up your MSN or Yahoo! account to enable people on your friend list to send text messages to your cell phone while you're away from your PC. Essentially, the IM service forwards any instant messages to your phone as SMS messages.