If your SIM does not work when you first place it into your mobile, it may have a SIM lock. If you have been with your current provider for more than 1 year this lock can be removed for free, please contact your current provider directly to request the code which will allow you to remove your SIM lock.
If you have had your handset for less than one year you should ask your handset provider how much it will cost to remove the SIM lock.