1. download handcent sms from the market
2. send a text message to the number of your choice.
3. after sending it press the "menu" button on your phone.
4. click "more"
5. click "delivery reports"
6. if its got a check mark next to the message then it was sent and received, if it has an X next to the message then it has not been received.
Just as a note like others have said turn on delivery reports but also iv noticed that u wont see the status go to received unless the other person has a verizon phone from my own experience.