Your phone is locked because network providers have a habit of locking phones to their network so you have to pay money in order to change. There are plenty of websites that give you the chance to unlock it, but there are also scam sites as well, so choose carefully. Or failing that, take it down to a open market and there are usually stalls that will unlock it while you wait. Don't worry if you see them drilling your phone, it may need something called a 'test point' to unlock it, so they use a dremel drill to do it.
Scott
November 2008