Can I use number screening on my Nokia S40 or S30 device?

Yes. To use the number screening, in another words, add a specific number as unwanted, select Menu > Messages > Message settings > Number screening (or No. screening) > Options (or Opt.) > Add number.

The phone calls and messages from such specific number are filtered, your phone does not ring and the messages go to Screened messages folder in Menu > Messages

Note: The number screening is a network service. Contact your network operator or service provider for service availability and billing information.