How Can I send sms confirmation when user creates a new account in my website? Can I send sms confirmation when user creates a new account in my website?

How Can I? what modules I have to set for this?
Rules module will allow you to do something when something happens in the system. You can send email or sms when an account is created. This is a very handy module, you should have it. 

In regards to SMS, there are a few options. 


SMS Framework module
Messaging module
VoIP Drupal module


In regards to the SMS framework, I don't know how stable is the 7.x development release. You need to make some decisions here. 

There are a tons of video/other tutorials on how to use Rules module, I recommend googling it and you will come across several sources. Do try the free videos provided by DruaplizeMe, they are very useful.