In case any of you lost the documentation that came with your phone, it is located below:

AT&T iPhone 4 activation instructions
Before you activate your iPhone, check your existing voicemail box for unheard messages and write down any important information. Once your iPhone is activated, your existing voice messages and greetings will be deleted.
Activate your iPhone:
In order to activate your iPhone and utilize the entire suite of features included in your service you MUST follow these steps IN ORDER:
Step 1 – Charge your iPhone.
Step 2 – Download and install iTunes.
Step 3 – Connect your iPhone to your PC or MAC and follow the instructions on iTunes.
Step 4 – Activate your iPhone online at att.com/Activations or by calling 1-866-895-1099 from another phone.
• Be ready to give the wireless number you want to activate, the account holder’s SSN and shipping ZIP code.
Step 5 – Turn your new iPhone ON and make a test call.
• If your test call is not successful, see Phone / Device Support.
Set up your new Voicemail box
• Touch the Phone icon.
• Touch the Voicemail icon and click Setup Now.
• The system will ask you to create a passcode and select/create a greeting message.
Airtime minutes apply when accessing voicemail from your iPhone.
