How can I change my APN settings on a recently factory unlocked AT&T iPhone 3gs?

I understand the steps to complete this and I can see how my question was not detailed enough. I recently recieved a Factory Unlock on an AT&T iPhone 3gs. Completed the steps and iTunes told me my phone was unlocked. However when I go into General>Network>Cellular Data is there with only the on/off switch. It is not clickable to go into the settings themselves to change them. I am running iOS 5.1.1. I guess I do not understand since the phone was Factory Unlocked, why I am not able to go into the Cellular Data Tab to change those settings, or am I missing something.