I enabled roaming on my account before I left the UK and have it enabled on the phone international).
I am now in Majorca and have purchased a 250MB package successfully. I get a little 'R' on my signal strength meter which I believe indicates roaming.
I simply cannot connect to the web. I also can't call 789 or the help number +447953967967. I get an Orange voice telling me these types of numbers are blocked and to call 470. Calling 470 tells me the same thing!
I've tried connecting to the yoigo network, that doesn't help. I cannot connect to the Moviestar network at all.