You will have to contact AT&T and speak with them. If your under contract still and purchased the phone as part of a new contract (subsidized) then they may not allow you to unlock the phone to another carrier until your contact is for filled.
They didn't what? Unlock it? I think the whole new unlocking law in place is in the hands of the carrier. If they choose not to then they must have a good reason. Phone is part of a new or resigned contract or outstanding bill on the account, could be a number of different reasons.