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.
Enter the PUK that came with your SIM, when your phone prompts for the PUK. You may have to enter the PIN afterward.
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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.