You are sure the SIM cards are active? Since the device is working with the old SIM, and you are not receiving an error that the SIM is not supported, something else is wrong. Have you done a reset on the phone? Hold the sleep/wake and home buttons together until you see the Apple logo and then release. After this see if you get signal.
What company's SIM are you trying to use an an alternative to AT&T?
Chrisj4203, thank you for your kind answer.
I have done a lot of restores to the Iphone, and resets also.
I;ve done holding both buttons as you sugested, but there is no signal appearing.
I am in Uruguay, South America and the original company is Movistar ( Telefonica) and the new sim card is from ANTEL ( the officail and biggest company in my country).
I don;t knoe what todo.
I have been trying for more than one mont.
I have gone several times to both companies. Aldo two times to Apple uruguay, and nobody can help me.
In looking at this official list of wireless carriers http://support.apple.com/kb/HT1937, I don't see ANTEL. So, I'm not sure it is a supported carrier. What have the carriers done for you. It sounds like the phone does not support the bands that are used on the AT&T version of the iPhone 4. I would ask them for a new SIM, if that doesn't work, ask them to tell you what frequency bands they support, and then check the specs for the AT&T iPhone 4.