Connect to 3G, without wi-fi available.
Do you need to be connected on wi-fi first to set up the cellular connection or does AT&T allow free direct cellular connection to them in order to set up the cellular plan?
iPad 3G, iOS 5.1.1
You activate a new iPhone and establish service by connecting it to a computer and iTunes. You cannot activate and establish service over the air - you must use iTunes via a cable connection to your computer.
Once activated, you should be able to establish service with AT&T over wifi.
P.S. you can also call AT&T from another phone and they can walk you through the service setup in a couple of minutes.