I've got prepaid sim and now travelling abroad. No wireless access at all

I've got prepaid sim and now travelling abroad. No wireless access abroad.

Tried to setup APN using instructions here but without success.

When trying to select mobile networks - says Unable to connect.

What do I miss?

I tried to register my account in att site but can't because it tries to send sms with code and I can't receive it because att sim doesn't work.

For now I have local sim and att sim - the only local works fine but I need to receive sms and incoming voice calls to my att number.