Threshold is where the alarm goes off, if it is negative then that means the alarm is disabled. Click the "Enable" button to flip it positive, or just enter the temperature you want the alarm to go off. To have it send an SMS, your cellular provider has to accept the SMS from an email to text gateway, which means that the email bits have to work first. Always make sure to "Save & Apply" at the bottom of the page after changing anything and before you expect it to do something.
Sounds like you're almost there. The "Setpoint" field if you hover over it says "Change Pit setpoint on alarm" which means that when the alarm passes the threshold, it would change the setpoint. This is if you want the grill to shut down or something when the food hits the high alarm. If you put 160 in the High Threshold field (and save) then when the temperature passes that it will go off. Note that the temperature has to be below the high threshold first by at least 1 degree before the alarm can go off.