Nokia Lumia is Requesting a PIN Code when I Use Other SIM Cards, but Not ATT (I Live Overseas)

Hi,
I purchased a Nokia Lumia at Amazon, but as I am based outside the USA, I wanted to use the Sim-Card of my home provider. Unfortunately, the phone requires a PIN Code, when I put another SIM. 
The phone has not been registered in the US, and it is a GoPhone.
Could anyone please help?
Thank you.