iPhone still locked even that the carrier claim they unlocked it!! PLEASE HELP

I have bought an iPhone 4s from my friend. I am with Tesco Mobile and she has got this phone as a part of a contract with 3 (UK privider). She asked 3 to get the phone carrier unlocked. They agreed and all seemed fine, and after some time they have sent an email confirming it's unlocked.

In the meantime I requested a new tesco mobile SIM card that goes with iPhone 4s. I haven't used this SIM yet (so it's probably inactive) as I want to swap my number there later.

We put the tesco mobile SIM in the iPhone and followed the steps (resetting to factory settings and connecting to iTunes), but I still get a prompt that my SIM is not supported. We called 3 and they claim the phone is unlocked on their side.

What can be the origin or the problem? Can it be because the SIM in the phone is inactive? Should that matter? Or are there steps I could have missed? Would going to Apple Store help?