From page 55 of the user manual:
PIN lock
You can select whether or not the PIN of the SIM card shall be requested once the phone is switched on. With some SIM card providers switching off the PIN request is not possible.
1. Press Menu, select Setting and press OK.
2. Select Security settings and press OK.
3. Select SIM security and press OK.
4. Select PIN lock and press OK.
5. Enter the PIN of your SIM card and press OK.
6. The following message informs you whether the PIN entry is required (blocked) or not (unblocked).