Invalid S and No s installed iPhone 4

Hi,
I purchased an factory shipped unlocked iphone 4.
When i connected my iphone to itunes. I got to see that the iphone menu was visible on the phone then.
Since, i am in India. I put in my local mobile carier.
Now, whenever i put in the Indian sim Vodafone/Airtel. I get message Invalid Sim or No SIM card installed.
It would be great if you can push in some of your experiences for this problem.
Thanks
iphone iOS 4