> If so, is there alternative method to receive\retrieve SMS into pc ?
To that question I cannot answer in affirmative since I don't have a Nokia E66 with which to try.
But here is an explanation of the results you're getting:
> AT+CPMS? Query contents
> +CPMS: ,,,,,,,, Area1,Contents,Total,A2,C,T,A3,C,T - comma-delimited (nothing between commas)
> OK Finished query without error
> AT+CPMS=? Query acceptable parameters
> +CPMS: (),(),() Each area's accepted parameters in parentheses (nothing inside parentheses)
> OK Finished query without error
Nothing between the commas + nothing between the parentheses = this phone apparently does not have those storage areas. Still, the phone's operating system recognizes +CPMS is a valid AT command, but does not accept any parameters for it. 3GPP's Technical Spec 27.005 (latest version attached) requires the +CPMS command be supported, but does not require those message storage areas to actually exist.
I have a couple different PDF files with AT commands for Nokia phones... they shouldn't be hard to find on google.