Yes, though I doubt you can do it in Matlab.
If your phone is Windows Mobile, you can use the
Remote API (RAPI2)[
^] interface to send a DLL to your mobile device and execute code contained within that DLL.
Within that DLL, you can use the
RIL API[
^]to watch for received SMS messages and alert your application.
Here[
^] is an example program receiving SMS messages using MAPI instead of the RIL.
If you're not used to writing code in C or C++ this will be a challenging exercise.
-PaulH