First of all you need to make sure that you have a LTE-enabled SIM. Ask your provider.
Then, you should test it first with the official ROM (for your phone&operator&country).
If it does not work with the official ROM, ask again your provider.
If it works, go ahead and install a custom ROM. check if you have the option from above post. If not, you have to try to install the right modem (that fits your country/operator/phone - sammobile is your friend).
Samsung Galaxy S4 LTE - Stock, rooted KK 4.4.2
Samsung Galaxy S3 - rooted, S4 Revolution 40.0
Samsung Galaxy Tab 10.1 - rooted, Omni ROM
Xperia Arc S - rooted, AORP 4.4.2
Huawei P1 - rooted, RootBox ROM, JB 4.2.2
Desire HD - rooted, VenomROM - retired to pension/backup phone