Set up a new iPhone 4S but no network connection?

I've just got a new iPhone 4S and I've set it all up but my phone doesn't have network connection when it should have as all my family are on the same network and they all have connection.

Is there anything I should have done?

I remember on my old iPhone I had to insert my number somewhere but I couldn't remember where? Can anybody help me with this?

Just make shure you have your sim card in and a data plan and it should work fine if not call tech support