Cell phones are highly specialized radios. Most phones now can have the radio part turned off so you can use functions like games, music, etc while, for example on planes.
Go to the "Manage Connections" icon. It has what kind of looks like a martini glass (actually an antenna) on it. Select that. Select Mobile Network. this will put a check in the blue box to the left and in a few seconds, a green check to the right.