How can I setup my sim card in Dell Latitude e7250?

What model WWAN card is in the system (or, if it doesn't have one, you'll need to purchase one) -- the SIM card is just a subscriber identity card?  It won't work without the wireless card, which in turn must be compatible with both your provider's network and with the operating system you're running.

I dunno how to check but I have a sim card slot in my laptop.

Anyway here's my device manager screenshot

Thank you!

You have no WWAN card - without one, the SIM card is useless.

You'll need to purchase a WWAN card supported by your provider's network.

The two cards Dell supports for this model are the DW5808e and DW5809e -- check to see whether your service provider supports either of those.  If it does, you'll need to purchase and install one of them.

You may also want to verify that the antenna leads for the WWAN card are present in the system - if they are not, it'll be much, much easier to use a USB WWAN adapter, since installing the antenna after the fact is far from an easy task (the wires route around the display panel, which isn't easily accessible and the potential for damaging the system in trying to install them is very high.

Service manual for your system is here:

www.dell.com/.../manuals

You can either install the card yourself or pay a local shop to do the job.  You'll have to ask your service provider what they support (or do not support.).