Originally Posted by n99hockey
nothing happens....
I'm not trying to be insulting, but are you positive you entered the sequence correctly, including the * and # symbols?
If it definitely doesn't, then according to this
HoFo wiki article, it must be past the 1.x.x firmware, meaning it's on 2.x.x. If that's the case, there's a good Jailbreaking/unlocking/activating for PC users guide at iClarified
here. You do NOT need a SIM card to do this. Before you try this, however, you might want to ask your cousin if he remembers the last time he updated the firmware on the iPhone as a last check. If he remembers firmware starting with a 2, this will work for you.
I've done all my jailbreaking and unlocking on Macs, so I'll let other PC users here help you out if you have problems...