Your subscriber identity module (SIM) chip will likely be locked when you first receive it from Vodafone. You will receive a PIN Unblocking Key (PUK) along with the SIM to unblock it. A blocked SIM means that the SIM is blocked from letting through calls. Note that this is different from a lock phone, which won't let you swap in a different carrier's SIM and therefore switch networks.
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Enter the PUK that came with your SIM, when your phone prompts for the PUK. You may have to enter the PIN afterward.
Try 0000 and 1234 as possible factory defaults, if you can't remember yours or don't have one.
Contact your local Vodafone customer service center if you never received a PUK or if Step 1 and Step 2 didn't work. Typically, the phone can still call customer service and emergency numbers even when it is locked.