I believe all AT&T phones are locked, (until you unlock them). If you call their customer service (or customer service online chat), they will walk you through the unlocking process. It's not exactly an intuitive process, but its not that difficult either. I'm an IT professional, and I kind of fumbled through the process with the tech on the phone. You might be able to just bring it to an AT&T store and have them unlock it, but not sure if there is a charge. Flipadelphia mentioned that there is a third party online service that will unlock it for $20.

I unlocked an old AT&T blackberry curve about 2 years ago, that we still use on trips to JA. As I said, I just chatted with the AT&T support tech online and they walked me through the process. Some of the steps ask you to enter codes and then press weird key combinations, and it can be tricky to tell if the command is successful. Other wise, I think it is something that you can do on your own.