How to set up my new sim card?

I have recently brought a new sim card from ASDA (EE). I have an iPhone 4 which obviously has the microsim which comes with the new sim i have purchased.
I was wondering how i program my phone to use this new sim when my phone is locked to Vodafone, without having to pay anything preferably but if its necessary then ok. Just looking for a step by step tutorial or a weblink etc.
I'm British if that makes any difference.

Try these 2 links