I suggest that you try try to connect your phone to the computer by the usb and then use a hyper terminal. Try to type just "AT" , you should get a "OK" back. Remember to set the baud rate to 9600.
If that works then you need to check your connections with the Arduino.
Maybe switch around TX and RX.
I assume that you have connected both the Arduino and the phone to the same grounding point otherwise it will not work.