I wish to ask How do my mobile  is going to connect  to my web  site via
SMS?

What i mean is i want that if i send  SMS to my site  it in response  me
with so information  from my database.

You can use GSM Modem ( although handphone can be used too) as the gateway to
your website.
Write a java code to listen and send sms  through this Modem.

I have a Java Code to do that with Siemens TC35 GSM Modem.
And you can find so many resources on internet how to send  and listen sms
through a modem with AT command.

Exaclty. Not all phones available in the market can connect. There separate
protocols on top on IP that allow communication on wireless devices. The
principle is almost like using a laptop with a network card connecting to a LAN.
WAP - Wireless Application Protocol is used I guess.