Trouble activating factory unlocked iPhone 4S

My girlfriend just got an iPhone 4S (factory unlocked) from Apple US.  She's having trouble activating it and I'm trying to guide her through the process but I can't figure out what the problem is.  She says when she plugs it into her computer, connects to WiFi and opens iTunes it just asked her to give her iPhone a name and "something else" but nothing about activating.  She can't make calls or texts. 

She's roaming outside of her home country now though - is that a problem?  Can you not activate while roaming?  Her account and her sim card roam fine on other phones so roaming is not disabled by her carrier.

Thanks.