If you have ordered your new phone online, then in most cases your SIM card will not yet be inside your phone, but in separate packaging within your overall package.
Providing that your supplier has sent you everything you need to get started with your new phone, there will also be instructions telling you how to insert the SIM card into the phone.
On most phones, if you remove the back section and look inside, you will see the area for the battery and a much smaller section (usually near the electronic circuit board) which will house the SIM card.
Many phone models are slightly different inside, so be careful and follow the manual if you have one, as you insert your SIM.
What if you purchase your new phone from a store on the high street? Well, if you ask nicely enough, then many stores (if they are not too busy) will help you set up your phone, including inserting the SIM card and giving you a brief demo of the basic functions of the phone.
If you have somehow lost your SIM card, then you have 2 main options. Firstly, you should contact your mobile phone network, who, for a small fee, should replace your SIM whilst retaining the same phone number. Please note, however, that if your SIM has been lost, any data that you stored on it personally will be lost. Alternatively, you could simply buy a new SIM from the high street. This may also allow you to change networks if you so wish.