Have you modify the code and compile it? Does the compilation success? Have you load the hex code using UIC00B? Do you have LCD to show the message of the program?
If the GSM is able to send SMS and make call using computer, it is working.
BTW, checking your connection again, I notice you did not swap the TX and RX line. TX of TC35 need to be connect to RX of SK40C and vise versa. Please make that changes accordingly.