What exactly did you do trying to set it up? Take a look here and see if it helps
http://support.apple.com/kb/HT4157
If it's still not working, try resetting your cellular setting: Setting - General - Reset
I tried setting it up exactly that way. In Canada, I put a Bell micro sim card in, and the top left displays Bell. When I put the AT&T micro sim in, it only says no service in the top left, so I can't activate the data. I know I have AT&T service here, because my bell iPhone is roaming on AT&T. I'd use e iPhone, but I don't want to pay the ridiculous roaming data charges.
Any idea how I can go from no service to AT&T?
I just discovered that if I'm on a wifi network I can go through the AT&T setup, but I want to make sure that the SIM will work after that.