Hello,
I've got the solution!!!
Okay - I spoke to Nokia - who advised me to speak to my SIM card provider (Orange). Orange said - 'This functionality is not supported by Orange on the 6300'.
But there is a way around this.
Borrow one of friends SIM cards (preferably a Vodafone) - insert the card, switch on the phone then go to the messaging menu:
Message Settings > Text Messages > Delivery Reports (set this to yes).
Then switch off the phone, stick your own SIM card back in the phone and switch it on.
If you now go back to the same menu - you will see that, there is no option to set Delivery Reports. However, when you now send a message - it will now indicate when a message is delivered.... JOB DONE :-)