You can check if a PIN is required with the following command:
AT+CPIN?
If all is okay you will get one of the the following responses:
+CPIN: READY
+CPIN: SIM PIN2

If a PIN is required then the response will be: 

+CPIN: SIM PIN
and you will  need to enter the following
AT+CPIN="1234"
(replace 1234 with your own PIN number)

If the response you got was either of these
+CPIN: SIM PUK
+CPIN: SIM PUK2
Then you need to enter the PUK or PUK2 code instead of the PIN number.

These are some are likely error messages:
+CME ERROR: incorrect password
+CME ERROR: SIM interface not started yet
If you just get ERROR you had better check your spelling and that you are communicating with a datacard or mobile phone and not your internal modem!

Have fun, but play safe.