Will an iphone 4 change carrier if i just insert a new sim?

My brother has inherited our dads old iPhone 4, and it was on O2. But now he has a 3 sim, and he is trying to install it. He took out the old sim and inserted the new one while it was on. And nothings happening. Is this normal? Has he broken it? Please reply as soon as possible!

It will have to be plugged into a computer running iTunes