Each time i'm getting sms i got notification on the top of the screen of the phone (i have lumia 800) Is that possible somehow to swith off or deactivate this notification? Or prevent appearence of it. Sometimes it is really bad that even mobile is locked and lying on the desk/table everybody can see from whom i got sms and what is the first sentences.
I think what you're looking for is something akin to a "do not disturb" mode. Windows Phone 7.5 doesn't currently support such a feature, nor does it have the ability to disable toast notifications for core system apps (for third-party apps, developers often build a switch to disable toasts, but it only affects their own app).
This can be a privacy concern, of course, as it does display the beginning of the text and from who it was sent. Though (correct me if I'm wrong) it is typical of smartphones. I remember seeing my friend's iPhone do something similar on the lock screen.
It might just be standard industry practice for the moment. But to answer your question, unfortunately, no, there is no way to do it.
That isn't to say that the option might exist in a modded Windows Phone 7 rom, but I don't know if such a one exists.