You have to send them a special message to stop the service, unfortunately the message you have to send varies per service to make it hard for you to stop while they can continue to make money.
You could try googling the number the messages come from or the service name and see if you can find the correct stop message. If that fails, call your phone provider and ask them if they can help out with the situation. If you don't do anything these things can get quite expensive. And unfortunately these types of service are not illegal yet
Do you know which site you downloaded from, I like to take a look and see if there's something that can be done to stop them from making more victims.