If you want to avoid using data when you're abroad, you need to turn off data roaming on your mobile phone. Once done, you can only make voice calls, send SMS and use applications that don't require an internet connection.
Turn data roaming on or off
Slide your finger down the display starting from the top edge of your mobile phone.
Tap ALL SETTINGS.
Return to the home screen
Tap the field below "Data roaming options".
Tap roam or don't roam.
Tap the home icon to return to the home screen.
*Please refer to the Microsoft website for more information or further support.*