This sounds like you have a locked phone to a service provider other than the one you have an account with.
If this is the case (i.e. locked to Cingular and you have a T-Mobile account) you will need to purchase an unlock code from an online service ( try 650unlock.com. They worked for me a number of times and aren't terribly expensive). Once you have the code (this is a subsidy unlock and not a SIM unlock. SIM unlock will only unlock the SIM card for use where the subsidy unlock will enable any SIM card to be used with any service provider), follow the directions and POOF...your phone will be unlocked. Takes about 30 minutes.
Answers & Comments
This sounds like you have a locked phone to a service provider other than the one you have an account with.
If this is the case (i.e. locked to Cingular and you have a T-Mobile account) you will need to purchase an unlock code from an online service ( try 650unlock.com. They worked for me a number of times and aren't terribly expensive). Once you have the code (this is a subsidy unlock and not a SIM unlock. SIM unlock will only unlock the SIM card for use where the subsidy unlock will enable any SIM card to be used with any service provider), follow the directions and POOF...your phone will be unlocked. Takes about 30 minutes.