If you were given a SIM card to install, install it before setting up iPhone. Continue reading on the article on how to do it.
A SIM card is required in order to use cellular services when connecting to GSM networks and some CDMA networks. An iPhone 4S or later thats been activated on a CDMA wireless network may also use a SIM card for connecting to a GSM network, primarily for international roaming. Your iPhone is subject to your wireless service providers policies, which may include restrictions on switching service providers and roaming, even after conclusion of any required minimum service contract. Contact your wireless service provider for more details. Availability of cellular capabilities depends on the wireless network.
Install the SIM card: Insert the end of a small paper clip or SIM eject tool into the hole on the SIM card tray. Pull out the SIM card tray and place the SIM card in the tray as shown. With the tray aligned and the SIM card on top, carefully replace the tray.
This will work on all iPhones running iOS 6 or later; including iPhone 3GS, iPhone 4, iPhone 4S, and iPhone 5.