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It's possible that call roaming is turned off either on the phone or in your account settings. If you've had the account for less than 3 months, this would be standard and you normally need to apply to have it turned on (and there may be a deposit to pay). If that's not the case, then try the Settings section of the My Vodafone link above adn see if you can change it.
If those two routes fail, hang on for the forum team who should be able to help. They'll pick up your post, but may take 48 hours to respond.