Every One its not possible to use any sim in a modem without unlocking
But dont worry with the following trick you can do it for free :-)

Step by step instruction:
1. Insert SIM in Modem

2. Modem show invalid SIM, just ignore it and close modem software.

3. Start NOKIA PC suite.

4. Go to Nokia pc suite connect to internet option

5. Go to Configure. Select your data card modem,and make all operator apn setting as like when we use Nokia mobile connection.

Eg:- Apn for Tata Docomo –TATA.DOCOMO.INTERNET
 
6. Finish set up.

7. Now connect to internet through PC suite

Enjoyy....!!!!!!!!!!!!