Using Dell Venue Pro with an AT&T Sim Card?

​Hello, ​

​I just purchased the Dell Venue Pro from the Dell website. I bought it for full price ($500), with no T-Mobile service. I expected to be purchasing an unlocked device, but when I put my AT&T SIM card in it, it asked me for a pin code so I could use the phone. Is this phone locked, even though I paid full price for it? If so, how do I unlock it?​

​Thanks for your help!​