This depends on the programming language you are using.
We have product specific documentation, tutorials and sample code on how to configure a callback URL here : http://docs.africastalking.com. However, before you interact with the code samples, kindly ensure that you have prepared your environment as below:
Web server: You should set up a web server that exposes your application to the Internet. The most common web server is Apache, but you can use any web server that you are familiar with. Note that some frameworks come bundled with a web server by default.
Publicly exposed URL: Given that most developers use their local host for the development process, it is important to note that this does not expose the developed application to the Internet -- even though the application can send HTTP requests to various endpoints. To be accessible to other hosts on line e.g the Africa's Talking Servers, the application should be accessible by external hosts via a public IP/URL. You can use ngrok to tunnel your local host to the Internet (it is free to use) or set up a Vagrant instance that allows you a free Publicly available URL via the Vagrant Share command, among others.
The documentation includes the parameters which are sent, the expected responses and other product specific information.