Do you think I can use this device to send and recieve SMS from the Arduino? I though of connect this device to the USB port in the Arduino (using cable convertor or something).
The correct "or something" is a USB Host Shield. The Arduino is a USB slave, not a USB Master. That device is also a USB Slave (it needs to be told what to do). The USB Host Shield allows you to write a device driver that runs on the Arduino and makes a USB slave do something.