Reading the standards is usually a too long way to go...
Siemens phones implement a subset of the standard ETSI AT+Cxxxx commands, and also a set of Siemens-specific AT-commands. However, almost none of them are needed to transfer data - read on. Googling fopr "Siemens AT commands" gave me on cca 5. place the following link:
http://rover.wiesbaden.netsurf.de/~hirschgp.../atset.pdf
but more sources of the same will be around on the net.

There are more options how to establish a data link via GSM; the 2 most often used are CSD and GPRS. CSD is very similar to normal analog modem operation, you can dial and connect to an another phone. Drawback is, that it supports only 9600bps and it is quite expensive - usually billed the same as voice call. With most operators, you can even make a data connection from a analog phone/modem to the GSM/CSD and vice versa.
On the other hand, GPRS is very different - it requires to implement PPP+IP and you can NOT connect to an another phone, only to internet (or some kind of (virtual) private network). It usually supports multiple channels for downlink and usually only one for uplink (limiting uplink to max. 9600bps, too), with voice calls having priority over GPRS if a BTS is loaded. The advantage is, that you may stay on forever, as it is usually billed per bytes transferred (both directions).

With the M35, we have experimented only with CSD. First, you have talk to your mobile operator and obtain a "data number" for both phones' SIM. Try to talk to somebody really knowledgable, as usually they will try to sell you standard GPRS/internet packages - the "data number" is something different and not so often used. Insist on that you are going to use CSD (don't try to explain it to people who are surprised by this abbreviation, move on to somebody else) and you are not going to use it for surfing the internet, but to connect two phones. The "data number" service might or might not be billed monthly. The "data number" is a different number than the "voice number" you already have for the SIM.

Then get a data cable for the phone. Try to get a FULL cable, not only Rx/Tx. There are 2 more signals - CTS on pin 8 is vital for successful data transmission, using which the phone can tell the PC/mcu: "wait, my transmit buffer is full"; and DTR on pin 7, enabling the PC/mcu to hang up in an easy way (not so important but may come handy). You may also want to solve the battery charging through the same cable.

Now set the communication between PC/mcu and phone is 19200/8/n/1. Typing AT should give an echo, and pressing ENTER should return an OK. This is a basic phone presence test (assuming it is in factory default).

Now dial the data number of the other phone in international format, e.g.
ATD+4312345678
Note, that if you don't have the "data number" service activated, the phone returns immediately ERROR. (You can establish a voice call adding a semicolon (;) after the number - but then you need to dial a voice number).
If everything is OK, the phone answers nothing, but you will hear how it deals from the earpiece and on the display it displays "DATA" and some fancy picture. When the second phone picks the call up (for this read on), it returns CONNECT 9600, at which moment you can start transferring your data (throttling it according to the CTS line). After you have finished, send the escape sequence (wait 1 sec, send "+++", wait 1 sec for OK) and send "ATH" for hangup; responds OK.
When a call is being made to the phone, it sends "RING" (unfortunately, there is no hardware RI line). Send "ATA" for pickup; after a time it responds "CONNECT 9600" and the data call is established. The called phone can hang up the call using the same procedure as described above.

Hope this helps a bit.

Jan Waclawek