The default security code of a phone is 12345, so if you have not changed it and have not used it before, I would try that first. Apparently you can only use the default security code once though, so if it has been used and changed - you might need to contact Nokia, or go to a Nokia care centre.
If your phone is locked to a network, Nokia may also be able to help.
Sometimes they configure phones so that if you enter the security code incorrectly three times it will lock, but customer service should be able to help you, as this is just a feature to protect the phone from unauthorised access.
If the phone isn't locked to a network, entering an incorrect code three times will put it into sleep mode. When this happens, just switch it off, leave it for at least 15 minutes and then try again.