I don't think you can connect a (GSM-) modem directly to the Netsight Server. However you could send an email to an SMS gateway or write a script that send a HTTP request to an SMS gateway. The possibilities are endless.
Go read the Netsight help about Alarms/Events. As I said you can trigger scripts which can do anything including an SMS gateway or whatever. If you don't feel comfortable, contact someone to do it for you.