First time I have seen someone refer to Saudi Arabia as KSA. You got me there.
Where did you buy the phone from? In most cases, it's probably something to do with a missing APN. I have zero experience with APN codes, but you can probably find instructions somewhere, or you can try to ask the staff.
As for market, most middle east countries banned Android Market (Don't ask why), hence the problem. Anyway, give this a try.
Manually set your APN setting by these steps
1. Touch the Menu key
2. Touch Settings
3. Touch Wireless & networks
4. Touch Mobile networks
5. Touch Access Point Names
Get your apn settings via google (my case vodafone nl 3g apn settings in google)
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