To receive and reply to an SMS with PHP and Twilio, create a file named `message.php` that contains code to parse the incoming request and send back an HTTP response with instructions for what Twilio should do next. The response takes the form of TwiML, a subset of XML used to relay instructions back to Twilio, which expects an HTTP response in return. The code needs to have a publicly accessible URL for Twilio to reach it, so push it to a server or use ngrok to open a tunnel to localhost. After setting up a free Twilio account and buying a phone number, fill in the full path to the `message.php` file and click Save to receive an SMS and see a customized response.