Your phone was sold AT&T and was locked. So you do need to either have a working AT&T SIM for your phone or have it unlocked (you will need to talk with AT&T on unlocking your phone). As this is a GSM phone you will need to signup with a carrier that offers GSM cellular services.
For now you'll need to hook up your iPhone to your PC via USB which is connected to the internet. Then you can setup the phone via iTunes. Within iTunes you can configure your phone, down load a newer iOS as well as update it with the latest fixes. Lastly thought the Apps storefront you can also gain access to apps (free & pay), music, TV shows, movies, books, and ring tones!