These things are dirt cheap so I picked a few up awhile back and am now getting around to experimenting with them.  It should be pretty fun to control things via SMS or get notifications from a defice equipped with one of these.

NOTE : Do not use these if you're in North America or most of South America.  Check the map linked at the bottom of this article for where 900MHz and 1800MHz is OK.

Firstly connect the grounds together and connect 5V to it (some voltage drop from the diode gets it to about what the spec wants, 3.3 - 4.5).

I also hooked it up to a FTDI breakout board so I could send and receive serial data (3.3V TX and RX).

I was just using the serial monitor within the Arduino IDE.  Set it to 57600 baud and also set the line ending to be a "Carriage Return" or "Both NL & CR".

Ground the BOOT pin momentarily to make it boot.  The boot LED flashed on and off steadily.

In the serial console it displays "MODEM:STARTUP" then eventually also displays "+PBREADY".

E.g.

MODEM:STARTUP

+PBREADY

At this point you can issue some basic AT commands to get some info about the module and SIM Card.

To get the IMEI number issue the command :AT+CGSN and it will respond with the IMEI and OK.  I changed the IMEI here so as to not show my actual IMEI

AT+CGSN

358510000000000

OK

 The command ATI will display info about the module

ATI

NEOWAY
M590
REVISION 01.30b

OK

This thing wouldn't register the SIM on the network and upon further reading .. GAME OVER!

I live in USA and no carrier supports the 900MHz and 1800MHz frequencies that this module operates at! :)

Look at this map and you can see that you can use these modules in pretty much the WHOLE WORLD except for North America and most of South America :(