Philstone: looks like you're going to have to have your carrier enable International SMS for you, and you'll need to be ready to accept fees for a couple of SMSes to and from this UK number: +44 7786 205094. After activation, you can probably have international SMS disabled again, since you won't need it unless you have to reset your phone. Good luck.
It does not have to send an SMS first.
This is wrong. Apple does, for matters of getting an iPhone activated quickly, without intervention from the user, send an activation request to an SMS number. It's the same mechanism used for FaceTime:
http://theiphonewiki.com/wiki/index.php?title=FaceTime#FaceTime_Activation_.2F_Registration
And here's iMessage:
http://theiphonewiki.com/wiki/index.php?title=IMessage
This permits a user to begin using iMessage right away, even if they haven't turned on iCloud or paired their iTunes account to it.
The activation SMS is intended to be a one time thing. It registers your phone number with Apple's servers and verifies that your phone is indeed paired with that number, and that iMessages intended for that phone number should be delivered to that iPhone. For a carrier that sells and supports the iPhone, there is usually a local (in-carrier only) number that is used, OR the carrier allows your phone to access a specific UKL number to send silent SMSes to you for activation, without billing you. For carriers that DON'T support the iPhone, you'll have to make sure you can send to and receive from the UK, and probably eat the cost of those SMSes.
Example, i knew my friend bought an iPhone one day because i opened a new text window to him and the send button turned blue as soon as i opened it.
That proves nothing. His iPhone got his number verified and activated, and that's when iMessage became available.