Are you able to place/receive calls and text messages with your Orange SIM in? If so - do the following:
1) ensure phone is in GSM/UMTS mode only (not Global) - this is very important: tap menu button, settings, wireless & networks, Mobile networks, Network Mode -> GSM/UTMS
2) reboot the phone as it sometimes fails to switch properly between modes and you may get issues on next steps.
3) again go to settings, wireless & networks, Mobile networks but this time open Access point names. You should be presented with blank screen - this is normal. Tap menu, then select "New APN", on the following screen - assign Name (for example Orange); the field APN you must enter orange. Look down further and put same orange on for both username and password fields. Leave all the rest fields unchanged. Tap menu button, from the menu select "Save". Screen will return back to the big black screen before you started entering new one, but this time you should see "Orange" on the top with a small circle checkbox. Tap on the circle so it becomes highlighted - a green dot will appear on it.
At this point phone should be able to connect to data services if data is not disabled. To make sure data is enabled - go to settings, data manager, data delivery and make sure "Data enabled" is checked as well as "Background data".
Hope this helps.