The SIM card is not supported

I recently bought a phone off of a friend who was with AT&T. I am trying to hook the phone up with T-Mobile. I was told that the phone was locked. My friend contacted AT&T and had it unlocked. However when I put the new SIM card in, it tells me the SIM card is not supported. I was told I have to tether the phone through ITunes in order for it to work with the new SIM card. I do not know how to do this! I do not have a MAC computer I have a small HP. Can someone please help me out with this??????

[Re-Titled by Moderator]