Possibly your phone is locked to a specific network provider - that would prevent you putting a new SIM in it. If you've had it for a long time, your current provider should give you an unlock code. Otherwise, I believe Nokias are relatively easy to unlock. ( But be very wary of using an Internet service to unlock your phone )

Before putting a new SIM into an old phone, make sure all phone numbers stored on the old SIM have been copied to phone memory.