World wide there are several mobile phone technologies and different bands.
You have the normal GSM network and the CDMA network. These 2 are incompatible and work completely different. So if you have a CDMA phone likely it will not work because Europe does not have CDMA network (CMDA is NOT the same as 3G). However there are some CDMA phones whom also have GSM capability built-in.
Another reason is band selection. In the US (and other countries as well) they use different bands then used in Europe. In Europe dual band is 900 - 1800mhz. In the states this is 850 - 1900. So if you have a (old) phone which only works on US bands it will not work in Europe. However man modern phones have support for multiple bands such as tri-band and quad-band which will definitely work.
The 3rd possible reason is that your phone is simlocked. This means there is a restriction on your mobile phone which prevents you from using another simcard or simcard from other Telecom providers. This restriction is farely easy to remove just search for 'brand+model+unlock'. You will find many websites offering to unlock your mobile. Just be careful with the so called 'free unlock codes' and website which sell software for 0.99 - 5 USD. These are all fake and sell free software and might damaged your phone making it unusable. Trustable websites sell their solution from around 15 - 20 USD.
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== == You need what's called a SIM card, unless your phone is already equipped with one. Check with your provider for specifics.
Also, you'll need to change your calling plan or you'll be socked with enormous charges - if you don't, calls within the EU will be charged as if they were made from your home country.
cuz in your country that brand might have better reception in a different place it might not have as good reception