The phone is locked by your carrier. Only your carrier has unlock the phone.
So, you will need to contact your carrier and ask them to unlock the phone for you.
Depending on your original agreement with the carrier, they may be under no obligation to unlock the phone. Also be aware that there are some carriers that are telling their customers that their phone is unlocked, when it is not.
So, if your current carrier tells you that the phone has been unlocked and you contact another different carrier and learn that the phone is still locked, your current carrier has been less than honest with you.