Robert,
Rather than worrying about setting up a GSM modem etc. on the server so you can send SMS via WinEvent, I'd actually look at a service provider such as Clickatell.com, who allow you to send SMS messages via HTTP or SMTP.
That way you can stick with just NetTalk and not have to worry about hardware etc. - just send an HTTP request to the Clickatell service with the SMS info and it will all get taken care of. Cheaper than paying normal Telco 'per message' SMS fees in a lot of cases too.
Clickatell is global, but most countries have localised services as well which are usually even cheaper. Here in Australia, I use SMSBroadcast.com.au. It took me less than 30 minutes to add SMS capability to one of my Clarion apps recently.
Hope this helps,
Devan