me@privacy.com declared for all the world to hear...
> I have purchased an Orange SIM and have given the call-centre the SIM number
> and the IMEI of the handset I have put it in.
>
> What intrigues me, is how my phone is going to pick-up
> the SMS messages that activate the SIM?

The same way any other SMS message is received.

> What is it "listening" to at present, given that the phone isn't registered
> on any
> network?

By the time you have finished registering, switch the phone of and back
on again it will attempt to register on the network, and this time it
will work.
--
Regards
Jon