For starters, check it's sitting in your device correctly.
Make sure you've activated your SIM, you can do this at www.btcom.ll-digital-sandbx1.bt.com/go >
Try cleaning the SIM and the contacts with a dry cloth (the kind you use to clean glasses). Then try turning your device off, then back on again.
If it still doesn't work, it might be locked to another network. You'll need to get it unlocked by the mobile provider you originally bought it from.
If you know your device is definitely unlocked, the problem could be with the SIM itself.