Here is a way to Unlock your phone which is Service Provider locked, without to know SP Lock code.

First of all, PIN CODE MUST BE ON, then press:

C

C and hold until it clears display
* and hold until start to blink
* and hold until start to blink
04*
*
*
#

Each time you turn your phone OFF it resets the lock, so this need to be done each time you'll turn your phone ON

The phone now says: PIN CODE CHANGED (or ACCEPTED) and the SIM card is accepted until you restart the phone again.

NOTE: On version 5.04 onwards Nokia has removed this option.