If you want to use your phone abroad you'll likely have to call your service provider & ask them to activate this service. I'm on 3 & when I went to Australia a few years back I assumed my phone would work, it didn't & had to rely on emails & mates phones to relay info back home as required.
I would however recommend turning off international roaming when abroad as this will cost you a fortune to have your phone looking for 3G signal. Most hotels have wireless so use that if you need to go online. I was recently in prague & our appartments there had it, as did hotels on recent trips to Budapest, Berlin, Barcelona & USA.