Help Using "Data only" SIM card with PIN

[Jørgen Thyme]

I'm testing how to use a setup with "data connection only" SIM card. The card works fine (tested in PC).

Issue: I get no data on my data session.

I have verified
- I can change PIN on the phone
- Using Settings->Personal->Security using SIM lock on the phone works fine
- I see my data provider and data connection is enabled
- Using a SIM card w/o PIN works fine.

Can I specify the PIN code somewhere? I'm not prompted as on a pc. Or must I remove the PIN use it on my Android device?

Thanks
Jørgen