In Windows:

1. First, download and run One Click Activation 1.1.1 to get your phone activated in Windows. (Do this even if you have already activated your phone with AT&T, this step is necessary no matter what!)
2. Next, download and run touchfree to get your phone jailbroken. (It will direct you to visit a webpage on your phone, so make sure you have either Wi-Fi or EDGE access on your phone.)
3. Next, go to the Installer widget on your phone, and download BSD Subsystem and OpenSSH.
4. Next, download anySIM 1.1 and put it onto your phone using one of the following two methods:

Option A. Use WinSCP. To use WinSCP, log on to a Wi-Fi network on your phone and get your IP address by going to Settings > Wi-Fi and then clicking the blue arrow to the right of your selected Wi-Fi network. Open up WinSCP and put your phone's IP in there, use the username "root" and the password "alpine" and then make sure the File protocol is set to SCP. Now click Login and let it sit for about a minute (Ignore/Click yes to any warning messages). Once you're in, drag and drop the anySIM 1.1 folder you downloaded previously into the Applications folder. Now go in to the anySIM folder, find the file called anySIM, right click it, go to properties, and then change its permissions to 0755 by putting an X in every box in the third column. Once you're done, restart your phone.

Option B. Use iBrickr. Click Applications, then Browse Applications, then install the PXL and follow on screen instructions. Now find anySIM 1.1 in the application list (make sure it's version 1.1!), and install it. Now restart your phone. (NOTE: I haven't tried installing anySIM 1.1 with iBrickr so this should work only in theory. If someone tries it and it works, please let me know. Thanks.)

5. Go to Settings > General and change autolock to Never. Now click on the anySIM widget on your homescreen and let it run. It doesn't matter what SIM is in your phone. (You might have to restart your phone after.)
6. Your phone is now jailbroken and unlocked! Feel free to delete the anySIM app in WinSCP if you wish as it is no longer needed.

On a Mac:

I don't own a Mac, so these directions are more vague, but I know it works.

Download iNdependence, plug in your phone, and use this program to Activate and Jailbreak your phone. Download anySIM 1.1 and get it on your phone somehow. I think you can use iNdependence. Once it's on there, set autolock to Never and let anySIM run. That should work!