I believe that the
N95 is part of a range of Nokia phones known as BB5 (like the N70 and N80 etc.) for which a third party unlocking solution has been sought for some time with no succes. The programs advertised on ebay will work on older phone series known as DCT3 and DCT4 but will never work on BB5 phones, the claims that it will work 60% of the time on BB5 phones are fraudulent.
There is one person, 'Dejan', who may have developed an unlock program but you have to send your phone off to him in, I believe, Serbia. There may be one or two UK firms who will do this for you, giving you a bit of security.
Generally the only way to unlock the phone is to get the code from the Network Operator. I believe that Nokia only let Operators unlock their own phones and will not unlock phones themselves. Most Operators do this for a fee, give them a ring.