When you go abroad, you'll automatically receive an SMS to inform you about the roaming rates. You can decide for yourself whether or not to receive it. Here's how you go about that:
If you no longer want to receive an SMS when you start to roam, you send the free SMS "ROAMING SMS STOP" to 19005.
If, afterwards, you would like to receive the SMS again, you send the free SMS "ROAMING SMS OK" to 19005.