Hello if you really want to store sms on the pc then this will help you:
http://www.handcellphone.com/mobile/forum/how-can-we-backup-sms-pc-windows-mobileHowever, if you only want to store the sms for backup purposes then I would recommend a program called Pim Backup. This is a simple backup program that allows you to backup sms, emails, appointments, tasks, notes etc... and it compresses all into a single file which is quite small.
From there you now have a file which you can restore the content from, using pim backup program.
Go to our Master Application Thread to find the download link to the program if this sounds like something for you.
BTW, the backup file that you create can be stored on the PC, Memory Stick, iPod everywhere you want basically. This is the only backup program I use and have used for the past 2 1/2 years now and it works like a charm!

Good luck:) And please do ask if you are wondering about anything else.