You are going to need to find another line so that they can walk you through some steps. Your phone could be defective in which case a trip to the Apple store might be in order as they provide all hardware support.
Try this first..
1. Reboot your phone - Hold the on/off key and the home key for 8 to 10 seconds until you see the Apple logo.
2. Reset your network settings . Settings>General>reset>reset network settings.
That may clear things up for you.
For service or support questions including existing order status, call: Customer Support: 1-800-331-0500
Information on iPhone unlocking can be found here by copying this link into your browser: https://www.att.com/deviceunlock/client/en_US/