It depends on the network you're using and the variant of the Galaxy S5 you have. Each GS5 variant can only connect to LTE towers on certain carriers, if your phone doesn't support the frequency that your carrier uses, it can't connect.
The best advice I could give is to call your carrier. Ask them if your particular variant of the Galaxy S5 supports LTE on their network. If it does, they should be able to walk you through setting it up.