The built-in cellular feature is only available on Apple Watch Series 3 (GPS + Cellular) models:
Apple Watch Series 3 (GPS) models do not have SIM card (or any means of adding one) and can be used for calls and texts in the same way as previous Apple Watch models.
Apple Watch Series 3 (GPS + Cellular) models:
Have a built-in SIM / eSIM that copies information from the iPhone's SIM card.
Require a service plan from a supported carrier that specifically includes support for the Apple Watch, including the carrier activating the watch on the plan:
If you have an Apple Watch Series 3 (GPS + Cellular) model, then - having arranged a compatible service plan with your carrier - follow the instructions here to set up the cellular feature, including contacting your carrier for assistance if necessary: