Ya, I've got the same problem with that iPhone - and so do a million other folks. I've been told by AT&T and Apple that it's in the customer contract's fine print that AT&T won't EVER unlock their phones - just because they want you stuck with them. So, instead of a 2-year contract - you have an 'eternal contract' on that nice iPhone that you paid for and took care of. It's another example of the lies, poor service, and customer hatred that AT&T has provided loyal customers. AT&T is sheer EVIL!!!
I don't advise unlocking it because you can never update your iPhone again. I just unlocked it myself and its a pain in the ass , 1 because t mobiles internet sucks and 2 because I cant go to ios 5 now. If your with att and haven't terminated your service id wait for the new iPhone and upgrade. But if you want just go on YouTube and search it . It doesnt cost money its free so don't pay for it what so ever. Go on Jailbreak-me.info