Either 1] your iPhone is locked to a wireless provider -
solution is to contact that wireless provider to see if they
offer unlocking and if you qualify;
or 2] you are attempting to use an unapproved wireless provider -
solution is to work it out with that unapproved wireless provider or
use an approved wireless provider.
which wireless provider in what country are your attempting
to use?
What does it say when you look at Settings>General>About>Carrier?
You may have to scroll to see the entry for Carrier.