My question is, when this binary SMS is received at the client's mobile device, does the jad file and the content related to the jad file(such as jar files) get downloaded to the device at that moment via SMS? Or is it that only the URL is being sent using the binary message and the client has to visit the URL using a GPRS connectivity and download the content in the usual way?
You are right, the sms is recieved by the phone and on selection by the user, associated application is used to open the message.
In your case a browser, which opens/download the jad and then locates the jar proceeds with an installation.