On your device, you will see the current settings for the Purchase Blocker and Content Filter. These options are defaulted to "off".
Purchase Blocker allows you to block your device from being used to buy additional content (such as Ringtones or games) that may be billed directly to your wireless account.
Content Filter allows you to block AT&T offered content that may be considered inappropriate for children, or to block access to the broader mobile Web.
There's more about parental controls on the Device How-To Center. Click Select your device and choose a device brand and model, then look under Device instructions > Settings & security to view information specific to your phone.
For more information about managing content/location, controlling spending, increasing safety, and limiting time for your Wireless, Internet, TV, and U-verse services, refer to: AT&T Smart Controls.