I've had this problem in the past, too. I called Cingular in the US and found out that even though the doofus in the Cingular store told me he had turned on international roaming, he had not in fact done so.
The phone rep turned it on for me, and 30 seconds later I was making calls.
(FWIW, I've had this happen with both Cingular and Tmobile, twice. Apparently they *really* don't want to turn on International roaming unless you beg.)