Good choice of phone. Old doesn't matter, but tri-band is good.
The phone must be unlocked. And if it's branded Cingular and you haven't unlocked it, then it's probably locked.
Locking is pretty straightforward. On a locked phone there a line of code in the phone put in there at the request of the carrier (AT&)T, that says "is this SIM an AT&T/Cingular SIM?" and then if the answer is yes, then the phone is happy. If the answer is no, then it locks up the phone and won't let you use it. On an unlocked phone, there's no check like this (they disable it).
Unlocking a phone by hacking it usually involves tricking the phone into thinking you are AT&T and are telling it to unlock itself or figuring out a way to comment out the line of code that does the checking. If are unlocking it officially - ie, you are AT&T - then you know the magic code that changes the unlock check.
My guess is that your phone is locked, will only work with Cingular/AT&T and if you put an Orange SIM in there, it will read something like "SIMLocked".
To unlock a Motorola phone, usually you need software and a USB connection and you usually need to be AT&T/Motorola. If you are still an AT&T customer, take it to an AT&T store and explain what you want to do in Europe and they should unlock it for you. You could mess around on Google and/or Ebay, but this is a dicey proposition with a Motorola phone - they are locked pretty well (ie. the code is difficult to bypass unofficially... so get the officials to do it for you).