Ok let's see if I can make this simpler -
From any of the 7 main screens hit the up arrow in the bottom left. Scroll through until you find the "Messages" app. Open it and from the first screen (the one with the multiple threads listed) hit "Menu" then "Settings". 2nd from the top, uncheck "Auto-retrieve". 6th from the top uncheck "Received Notification". That should do it.