My Iphone says Locked SIM. Why can't I use it with another network?

I already ordered an unlock request from my carrier and i received a message that its done I just need to insert another sim card and connect to Itunes. I did it, nothing happens.
It says sim locked OK UNLOCK
If i go unlock it asks a code. But i don't know what code. Please somebody help me!

Ask you carrier. Or better yet, google for something like "unlock code <put your phone model number here">