Hi Angelito,
Let me try and help you with this.
First, read the description of the SMS service here, if you haven't already:
WDS SMS ServiceOn that page click on the BUY NOW button to choose the preferred package and complete your purchase.
Once you have done this, restart MF Pro and go to the SMS interface. That is when you will be able to verify your mobile number. Until you have actually purchased the package, you won't be able to do this - that is why you couldn't do this before.
You will receive a text on your phone which you will then enter in the suggested text box. It should be pretty straightforward, but if something goes wrong, please let me know.