I have never had a problem. I was in Spain just yesterday and picked up Movistar and Vodafone ES in Barcelona.
I was even able to select which one of those two I wanted, since I had asked Cingular to unlock my phone.
Not sure what the problem is. If you can see the network name, you are connected.
Were you able to make calls and you were having issues with mail? I found that for a few networks, mail download is capricious while it works fine for others.