Mobile internet not working on new sim?

So, I have just got a new sim and I can make calls and send texts but for some reason, I can't go on the internet. Wi-Fi works fine but the mobile internet is not working. I have just got an iPhone 4 and from what i can see in the settings, it looks to be alright. I have 500mb of data included in my pay monthly SIM so there are no other reasons for it to not be working.
Any help would be muchly appreciated!

Provided you have already enabled data in settings, I'd say the best course of action would be to call your provider. They may have 'blocked' you from data access and they can also help you configure additional settings. Hope this helps.

Has the phone been previously used on a different network OR on PAYG?

You need to do a reset on the handset to pickup the correct carrier info.