First of all you need to configure the SiteManager either by USB, DEV port or via the Appliance Launcher.
A Reboot is needed after inserting the SIM card either by directly in the internal slot or by an USB modem. Same for switching SIM cards.
If successfully the SiteManager will automatically find the APN.
It is also possible to manually lock the SiteManager to a specific APN by typing it in.
In the SiteManager GUI under Setup you can see what kind of Signal strength (SQ) it got.
And the same info from the GateManager/LinkManager interface.
More info about SIM cards here