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I suspect it's because the APN information is not entered.
First, try to go to Settings > Wireless & Networks > Mobile Networks > Network operators. If your operator shows up, select it and if you're lucky it will "install" the right settings at the right place.
If this doesn't work, go to Settings > Wireless & Networks > Mobile Networks > Access Point Names and create a new APN (push the menu button and select "New APN". Enter the information manually. You can search online or ask your operator for what you need to put in there.
For example this is what I have to use with Rogers in Canada:
APN: rogers-core-appl1.apn
Proxy: <not set>
Port: <not set>
Username: <not set>
Password: <not set>
Server: <not set>
MMSC:
http://mms.gprs.rogers.com
MMS Proxy: 10.128.1.69
MMS Port: 80 MCC: 302 (retrieved from SIM)
MNC: 720 (retrieved from SIM).
Authentication type: <not set>
APN type: <not set>
I have one setting for MMS/SMS and data, some operators will have different settings for each, so it's possible that there is more than one.