APN settings are for internet connections (MMS, web browser, syncing, etc.), but the phone is evidently not connecting to a network so, as Belodion says, go see your carrier. It could be a bad SIM card, a bad SIM card slot, your account was set up wrong (you do have a cellphone account with a carrier, right? cellphone service isn't just "there"), any number of things.
(Any cellphone, whether it has a SIM card or not, whether it's connected to a network or not, is required by law to be able to make emergency calls. In the US, if you dial 911, the network must handle the call and can't spend time looking the phone up in a database. So you'll see that on any cellphone not registered with a carrier, since you can make emergency calls. But without a cellphone account, and the phone registering on the air properly, that's the only kind of call you can make.)