Perhaps it wasn't properly activated when it was purchased? It might be worth bringing it back to where it was bought, to make sure. Or ring Vodafone and give them the phone's IMEI (you should be able to find that under the battery, or printed on the box it came in) and ask if they can see any reason why it won't work.
Alternatively, if you have access to another sim card that you know is working, try that in the phone. And try your sim in another phone, if you can. At least that way you might be able to establish whether it is the phone or the sim that's causing the problem.