Around the World

Sorry in advance if I am making someone repeat already answered questions...

I have a T-Mobile GSM phone with a US based service plan. I use it a lot in Europe and the US. However, I want to buy a new phone in Europe (alright, I confess a "cooler" phone). What I really want to do is take out my SIM and just pop it into a new phone in Europe and have T-mobile just treat it as my regular phone?

Why is this not possible? Does it have to do with the "locking" threads I've read about?

I went into a phone shop last week in France, asked them the same question and they were all curious too. We popped out my SIM and put it in another phone. When we booted the phone, it prompted us for a code (which I do not have)??? Is this the "lock" code I've read about? If so, can I get it from T-Mobile and then just do what I am talking about?

Even someone directing me to an on-line guide about this whole locking thing would be great.

Thanks for any help.

Jon