Problem regarding mobile sim card chang

Your phone is asking for a code because it is locked to only work with one phone company.

If your new sim is from a different company, you can request the unlock code from your old company, they may or may not give it to you (tmobile usually does, ATT/Cingular usually doesn't). The other option is to use a unlocking service, you can find plenty on ebay.

If you didn't change phone companies, your new sim card is most likely bad, have your phone company send you another one.