IPHONE 4? HOW TO UNLOCK IT IN ANOTHER COUNTRY?

My dad bought me the Iphone 4 for my bday its from at&t. I live in sweden now, today i went to the store asking question on how i could unlock my phone. Im so confused. One store took my sims card and replaced it with my swedish sims card. The man said any iphone from the states is always unlocked. I went to another store and they told me different if anyone else has had these problems can u please help me I really am annoyed with waiting to use it thanks!