Found iPhone 4, Can't activate?

So I found an iPhone 4 last week on my vacation in Austria. The SIM in there was already blocked so I couldn't return it and I decided to keep it.

I restored it back to factory settings, it told me I needed a SIM card to activate the phone. So I cut my regular SIM from my old phone into a micro SIM and put it in.

When I insert it, it says 'simlock' and I have to type in my PIN code, then it accepts that and in the upper left it says 'no service', even though service with my provider is fine in my area and on my old phone.

However, I go on activating the thing, choose language, location, activate wifi and then when It says it may take some minutes to activate, something pops up that I need a SIM card from an authorized provider, even though my provider works with iPhones in my country.

Here's the dilemma, I've made up some options that I think might work. Which one would you recommend?

1) I use my friend's SIM card who already uses an iPhone to activate my iPhone, and then place in my SIM card and use it (will this work?)
2) I go to a store from my provider and ask them what I should do, and if they can activate it for me
3) I jailbreak (unlock?) the iPhone, and then I'll be able to use my SIM card?

Please tell me what option would be best. And what about the 'no service' message? Why is this and will it disappear after the iPhone is activated?

Thanks!