Have you activated the sim or rebooted your phone?
If so and no joy,
You need to call O2. All numbers are in this guide including a guide for Skype.
Advice from an O2 Guru regarding a way to get through:
When you call, you will be asked for the reason you are calling,
Stay silent for 15 seconds and you will be taken to the keypad options.
Press 2 for Everything Else
Press 5 for More Options
Press 7 for Anything Else which will put you though to an advisor.
Press Upgrade, Lost/Stolen or Fraud if you have to.
8am is the best time to call
Veritas Numquam Perit