02 and EU Roaming Modes
The SIM has two modes, one is an O2, and one is EU.
In the O2 mode it will only work on O2 in the UK, and trying to make it register on another network will not work.
In the EU mode it will register on any network, though some reports are that Three are not playing ball, but it certainly should work with the rest.
Normally, if there is O2 coverage the SIM stays in O2 mode on O2 and works.
If there is no O2 coverage for several minutes the SIM should switch to the EU mode, and then find any other network it can use and register with that.
You can force it to EU mode using the SIM menu on your phone.
Once in EU mode it can have a manually selected network or leave it to find one itself.
In EU mode, if it connects to O2, then after a few minutes it will switch back to O2 mode, and re-connect to O2.
You can force it back to O2 mode using the SIM menu on the phone.