Settings aren't sent by a text that'll appear in your message app. You may, however, see a notification that says "tap to complete", which you should do.
Go into the main Settings menu and then Mobile Data, possibly More and then Access Point Names. If you see Vodafone Contract (or PAYG if appropriate) WAP with a green dot by it, all's well. If not, go back to the menu and see if there's a "Get settings from provider" option. If there is, tap on that and the device will pull the settings down and install them for you.
If none of that works, and you can't receive data, text WEB to 40127 and watch for the "tap to complete" notification. When that appears, make sure you choose the correct option - Vodafone Contract if you get a monthly bill, Vodafone PAYG if you're on that.
