HTC Desire HD was on Orange now open to all networks ?

Just opened my HTC Desire from Orange to all networks (via unlock code). Phone is fine but I can not get my mobile internet (from SIM) to work.
Phone shows new provider and tells me it is connected to new provider when looking in mobile network settings but there is no mobile internet working icon on status bar and no connection to any web sites.
Any ideas?
Thanks,
Mal.