You can receive an SMS with auto-configuration, but for Italian operators you have to set-up only the APN so it's faster to write it down on the phone settings rather than searching on Italian websites for the configuration-SMS page...
I don't know which phone you have, but usually you just need to go to Settings, Connections, Access Points.
This page could help too:
http://europe.nokia.com/support/learn-how/get-settings
BTW here is for Wind:
http://www.wind.it/it/promo/scheda552.phtml?sez=Privati