OK there is Itunes, and the firmware/OS on the phone. If you unlock/Jailbreak you shouldn't update your firmware on your phone or it will break the unlock/Jailbreak. You can update Itunes which is just the software that syncs the phone. So like Tramain said update your Itunes so you have the newest version. Then connect your Iphone and click on the Iphone in the left column. In the summary screen I usually uncheck the auto sync when Iphone is connected so that I control the sync. You should never click the update button to update the phone firmware and if it prompts you to update when you connect the phone cancel. If your phone wont accept your SIM then like Tramain said either take it back to where you had it unlocked or look it up and do it yourself.
I had a 1gen Iphone when it wasn't avail in Canada just because I'm impatient and wanted it badly. So I had to unlock and Jailbreak the phone 1. To use it in Canada 2. To be able to turn off Edge because I didn't have a data plan
I am not on contract and I always buy my phones outright so I don't have to go on contract. While I had my 1 gen Iphone I learned I didn't need the Edge network personally. So when I got my 3G I had to Jailbreak it to turn off 3G and Edge because I still don't have or need the data plan. So in my case it wasn't a pain because both phones the Unlock/Jailbreak worked the first time and I never had any problems with either phone.