Network and unlocked Iphone, Restored in Itunes, got congratulations its unlocked message, still searching for network constantly with new sim in?

Rang Orange up 21 days ago to Network unlock my IPHONE 4S as I want to go onto Three. Called Orange today and Apple who both confirmed phone was unlocked, all I had to do was restore it in Itunes and It would be able to use it. The first time I restored it I didn't get the 'Congratulations your Iphone has been unlocked' Message but the second time It did.

However, I decided to wipe everything and chose - Set up as a New Iphone. I've done all that, it's now constantly showing 'Searching' with the signal. I know 3 works here because my Dad has it in his Iphone and gets signal and 3G signal fine.

Just wondering why It wont seem to find the network still? It's a PAYG sim card?

Thanks.