AT commands for GPRS module - problems

I have bought a GPRS module for Arduino (by Libelium, Hilo - Sagem module) and I am having problems communicating with it. I use windows hyperterminal with the settings given by the manufacturer. I am able to write and get in response, and I am also able to enter my PIN code, get the network name, signal strength, and other stuff. Also, I am able to receive calls.

Here are my problems:

when I type <AT+CSCA?>, the terminal freezes. It also freezes if I try to define the terminal number (using <AT+CSCA="***",xxx>) with or without the <,xxx> option in the end. If I remove the sim-card, I just get the ERROR message that I'm supposed to.

when I type an sms message in the prompt and finish with "ctrl+z" I get an arrow, but the sms is NOT sent.

Can't make calls. Get as error message.

Also, I don't get a welcome message, although it's more of a symptom than a problem. Hope someone can tell me what's wrong.