Do you use a normal sim making sure it has a data plan or do you get a sim designed for a dongle?
It just takes a normal SIM same as the one in a phone
I was just thinking, I bought my Mobile Wi-Fi (MiFi) in Egypt and it was locked to Vodafone Egypt and couldn't be used in any other region, I managed to get mine unlocked via an unlocking program costing 99p on eBay.
It might be worth double checking that whatever you have / purchase is unlocked for international use