Ok, I admire that my coding poor, a simple code, that the Maduino zero receives the SMS from a phone, and then controls the connected LED on and off..... The LED turns on when receiving my message:"onr":

#include<stdio.h>
#include<string.h>
#define DEBUG true
  int pon=9;
  int poff=6;
  int lowp=5;
 int LED_R= 2;
 int LED_G = 3;
 int LED_B=4;
 String msg = String("");
 int SmsContentFlag = 0;
void setup()
{
  pinMode(pon, OUTPUT);
  pinMode(poff, OUTPUT);
  pinMode(lowp, OUTPUT);
  digitalWrite(poff, LOW);
  digitalWrite(lowp, HIGH);   
  digitalWrite(pon, HIGH);
  String msg = String("");
  int SmsContentFlag = 0;
  pinMode( LED_R, OUTPUT ); 
  pinMode(LED_G, OUTPUT );
  pinMode(LED_B, OUTPUT );
  digitalWrite(LED_R, HIGH ); 
  digitalWrite(LED_G, HIGH );
  digitalWrite(LED_B, HIGH );  
  SerialUSB.begin(115200);
   while (!SerialUSB) {
    ; // wait for serial port to connect
  }
  Serial1.begin(115200); 
   poweron();
  GprsTextModeSMS();
}

void loop()
{
    char SerialInByte;
    if( SerialUSB.available())
    {
        Serial1.print((unsigned char) SerialUSB.read());
    }  
    else if( Serial1.available())
    {
        char SerialInByte;
        SerialInByte = (unsigned char) Serial1.read();
        if( SerialInByte == 13 )
        {
          ProcessGprsMsg();
         }
         if( SerialInByte == 10 ){
         }
         else {
           // EN: store the current character in the message string buffer
           msg += String(SerialInByte);
         }
     }   
}
 
void poweron()
{
     int i=0;
     boolean result = false;
     digitalWrite(pon, LOW);    
    delay(3000); 
    digitalWrite(pon, HIGH);
    delay(15000); 

     result =  Serial1.find("OK");
     if(result)
    SerialUSB.println( "Please send sms to control your device!" );
    else
  {
               for(i=0;i<10;i++)
              {
                      Serial1.println("AT");delay(500);
                     result =  Serial1.find("OK");
                     if(result)
                     {
                        SerialUSB.println( "Please send sms to control your device!" );
                       return;
                     }
         }
         }
}
void ProcessSms( String sms )
{
   SerialUSB.print( "ProcessSms for [" );
   SerialUSB.print( sms );
   SerialUSB.println( "]" ); 
  if( sms.indexOf("onr") >= 0 ){
    digitalWrite(LED_R, LOW);
     SerialUSB.println( "LED Red ON" );
//    return;
  }
  if( sms.indexOf("ong") >= 0 ){
    digitalWrite( LED_G, LOW);
     SerialUSB.println( "LED Green ON" );
//    return;
  }
    if( sms.indexOf("onb") >= 0 ){
    digitalWrite(LED_B, LOW);
     SerialUSB.println( "LED Blue ON" );
//    return;
  }
    if( sms.indexOf("offr") >= 0 ){
        digitalWrite( LED_R,HIGH);
     SerialUSB.println( "LED Red OFF" );
//    return;
  }
  if( sms.indexOf("offg") >= 0 ){
    digitalWrite(LED_G, HIGH );
     SerialUSB.println( "LED Green OFF" );
//    return;
  }
    if( sms.indexOf("offb") >= 0 ){
    digitalWrite(LED_B, HIGH );
     SerialUSB.println( "LED Blue OFF" );
//    return;
  }
}

// EN: Request Text Mode for SMS messaging

void GprsTextModeSMS(){
   Serial1.println( "AT+CMGF=1" );
}
 
void GprsReadSmsStore( String SmsStorePos ){
  // Serial.print( "GprsReadSmsStore for storePos " );
  // Serial.println( SmsStorePos ); 
   Serial1.print( "AT+CMGR=" );
   Serial1.println( SmsStorePos );
}
 
// EN: Clear the GPRS shield message buffer

void ClearGprsMsg(){
  msg = "";
}
 
// EN: interpret the GPRS shield message and act appropiately

void ProcessGprsMsg() 
{
     SerialUSB.println("");
  //  Serial.print( "GPRS Message: [" );
    SerialUSB.print( msg );
//    Serial.println( "]" );
    if( msg.indexOf( "Call Ready" ) >= 0 )
   {
        SerialUSB.println( "*** GPRS Shield registered on Mobile Network ***" );
       GprsTextModeSMS();
   }
 
  // EN: unsolicited message received when getting a SMS message
  // FR: Message non sollicit茅 quand un SMS arrive
  if( msg.indexOf( "+CIEV" ) >= 0 )
  {
      SerialUSB.println( "*** SMS Received ***" );
  }
 
  // EN: SMS store readed through UART (result of GprsReadSmsStore request)  
  if( msg.indexOf( "+CMT:" ) >= 0 )
  {
    // EN: Next message will contains the BODY of SMS
    SmsContentFlag = 1;
    // EN: Following lines are essentiel to not clear the flag!
    ClearGprsMsg();
    return;
  }
 
  // EN: +CMGR message just before indicate that the following GRPS Shield message 
  //     (this message) will contains the SMS body

  if( SmsContentFlag == 1 )
  {
     SerialUSB.println( "*** SMS MESSAGE CONTENT ***" );
     SerialUSB.println( msg );
     SerialUSB.println( "*** END OF SMS MESSAGE ***" );
    ProcessSms( msg );
  }
 
  ClearGprsMsg();
  // EN: Always clear the flag
  SmsContentFlag = 0; 
}

and tomorrow I will try to use its GPRS connection, it seems a challenge to me, as I am a bad firmware engineer and has difficulty reading the English datasheets... and AT commands.... wish my luck.