How can I stop my phone sending an SMS every time I insert a SIM card?
Hey I got solution after giving lot of time on this problem.
This is the defect of Samsung Software. Actually every software version is linked with some number. But it not send any sms to that number. Because of licence, security reason they need to linked every version to particular number. If some problem occur in mobile phone then only it communicate with this number. But in some particular software there is some defect that's why it send sms when new SIM inserted into mobile.

The solution is go to your nearest Samsung Service Center and update your software.