If the Internet connection doesn't get activated, then you should check the APN settings. Go to Settings > Wireless and Network > Mobile Network > APN. Make sure you have the right APN for your carrier network else it won't work. Call or use the website of your carrier to obtain the APN settings and then the phone will connect to the Internet. Additionally, while you are in that menu, disable the Roaming system. This could also interfere with the network connectivity.