I set up my kocos modem to connect to pnpscada, but when I sms it, it says that it is not connected.
Please help!

The fist step is to check your SIM card:
Remove the SIM card, put it in your cell phone, and do browse the internet. If that works, the SIM card is ok. When you browse the internet, do a search on google you've never done before, to make sure you're getting a new internet page, and not something cached on your phone.
If that works, put the sim back into the kocos. Then send the GPRS and the NET sms, and check that the settings returned are correct.
Very often, clients still get the IP address wrong, because it was written down wrong, or because it was entered wrong.
The best way to get the correct IP from the source, as it were, is to take the domain name from the url in your browser once you are logged in (e.g. platinumglobal.pnpscada.com); and go to your command prompt (Start->Programs->Accessories on most Windows O/S); and ping it.
You ping something by typing 'ping', then space, then the domain name, then enter.
This will resolve the domain name into an IP address. This is the IP address of the server, and it is the same IP address the kocos must connect to. If the IP returned from NET is different from this IP, you have programmed the kocos modem with the wrong IP address. Please fix as per original setup instructions.
As I say, this is the single most common mistake people make when setting up kocos modems to connect to pnpscada, so it is definitely worth a check, and a re-check if things stop working or you still can't get it working.