Where did you get the phone ? I suspect Three may be unable to help as they have no knowledge of this other phone if it was locked to Orange originally.
To be honest, having bought a number of s/h phones on Ebay (some locked, some not), most security locking seems like a bit of a money-maker to me when some networks will charge a fee for an unlock code...
Probably a market stall or mobile phone dealer will charge a tenner to unlock the phone, but may ask for proof of ownership (ie the box for the Orange phone).
However, a PAYG for Three can be had for about 30 quid from Three refurbished ZTE F102 : 2 MP camera, SD card storage, plays music, has Skype and Windows Live Messenger.
There's also the Three ZTE F107 at same price with a slight difference in audio formats (F102 handles Windows Media audio, F107 handles AAC) - both handle MP3s (and have camera, Skype, IM, etc, etc). F102 is silver, F107 is black.
F107 does video calls too, if that's important (?)
Sorry if I sound negative about fancy phones, but they do tend to be targets for theft, either from complete strangers, or just acquaintances linked by membership of same school / sports club / whatever. Hope DS wasn't badly hurt. I guess there's also a lot of peer pressure these days and a cheap phone without some features will give lads a chance to mock