Well it should all be very straightforward.
At least we identified one problem now, which was that your dongle was not wired up correctly.
Now that it is sorted, things should work, assuming the dongle is the right one.
It might be that you have a K3772 from a different batch or something silly that has a different vendor ID, in which case some small changes would be needed.
If you get the K3770 tomorrow, that would be great to test it.
In the meantime, can you check that you can send SMS using the SIM card in a normal phone (just send an SMS to self)?
Also, can you delete all the SMS from the SIM using the phone, and try again.
Ashley
This is the SMS program and it does not have a call to "connect":
Import programVodafoneSMSBasics
Shows how to send and receive SMS messages using a Vodafone USB dongle.
Last commit 06 Mar 2014 by Ashley Mills
Is this the program you are using?