The Nokia Lumia 920 AT&T Settings, AT&T 4G Settings For Nokia Lumia, AT&T Settings For Unlocked Nokia Lumia Internet & MMS, Nokia Lumia AT&T MMS Settings
You can Add your own custom APN settings for HSPA+. The application comes defaulted with AT&T LTE settings and AT&T 3G but for what ever reasons the 3G settings don't work
Enter the following information:
Press arrow right to access the main menu.
Press mobile network.
Press add apn.
Access point name: wap.cingular
Yes that's it just the word phone
leave all other setting blank under Internet APN
AT&T MMS APN
MMS APN: wap.cingular
Proxy address: proxy.mobile.att.net
proxy port: 80
Username: leave blank
Password: leave blank
MMSC address: http://mmsc.cingular.com
Save the new APN, After making these settings go to access point main screen and set the newly added access points as active. Now you can use the mobile internet and the MMS service. I believe in this way you can set the apn settings for any carrier if your Lumia device is unlocked