The device needs to be programmed to work with the network.
Under settings > Wireless and Networks > Network operators, check off the network which you have a SIM card for.
Next, go back to the Wireless and Networks page. Select the "Access Point Names" option. Press menu, select "New APN."
At this point you will need to contact the carrier for the appropriate information to enter in this field. Once done, you should be good to go.