You have to add an apn profile though. You can do it with the apple iphone configurator or for example with this online configurator (open it from your iphone): http://unlockit.co.nz/ Your carrier should be listed, but after installing a profile, you can change it manually.
Okay, now I offically don't know at all what you're trying to find out. Activation? APN settings? Tethering?
AT&T does not let you edit the APN settings, you need to jail break and use tetherme app to view/edit them. I had hoped the unlocking would give me the option to edit without jailbreaking. A friend told me the APN lockdown is in the simcard though.
http://support.apple.com/kb/HT4839 After installing the configuration profile you can use it even without jailbreaking. It's the same procedure as the online configuration tool I mentioned. I was using an apn profile with my AT&T iphone while it was still locked. If you don't have an apn profile installed, you cannot edit the apn settings on your iphone.
I did gave a shot for getting my Iphone 4 Unlocked by ATT which i bought of craigslist and it works... I had to initiate a chat on att and give him the IMEI number bingo its done....... Give it a shot even if you dont have the proof of receipt ....... or what ever crap that some at att say