Nic Birsan wrote,
"If you are writing your software in C probably you don't write your own putchar()."

Actually, when you're writing embedded code in 'C' - especially without an OS - you most probably do have to write your own putchar()!
(eg, see the Keil C51 manual)

mahmood replied:

putstr("AT+CNMI=2,2,0,0,0n");

or

putstr("AT+CNMI=2,2,0,0,0"); 
putch(10); 
putch(13);

I presume that there should've been a backslash before the 'n' at the end of that first putstr, but the HTML just swallowed it?

Note that "backslash-n" indicates the implementation-defined end-of-line sequence:
on a PC, it's CRLF; but in Keil, it's just LF.

Also note that

putch(10); // LF
putch(13); // CR

is sending the Line-Feed before the Carriage-Return - which is possibly not what you want...

There is usually an S-Register to define the command-terminator for a modem