I've been looking for that function too. So far, the only way I've found out to disable those annoying messages is to put the entire phone in quiet mode.
To do that, you have to press the # for around 3 seconds. It will then tell you that the sounds have been deactivated. With that, I think you won't hear rings nor other sound alerts. You will not be able to listen to the radio too, I think. To turn on the sound, press # again for another 3 seconds.