You have to jailbreak the phone, not unlock it. And your AT&T service will be fine-jailbreaking just changes the software so if anything goes wrong, you simply restore the phone via iTunes and you're good.
Go to modmyifone.com and look around-they have guides about jailbreaking. Go there and click on Guides on top.
I used the app ZiPhone to jailbreak my iPhone. There is also winpwn, but I have a Mac so I didn't go that route. Check modmyifone.