Are you using an iPhone?
If so then it's almost certainty the usual iPhone roaming problem due to the stupid way that Apple do things.
You will have to be persistent and maybe try many times to get that to work.
Switching airplane mode on and off and then trying it quickly may help to catch the local network and allow you to make the necessary configuration changes.
You will also need cash credit on your account to cover the costs of outgoing calls and texts and incoming calls.
Hope this helps.