Question about connecting to internet without using Wi-Fi

This is a potentially dumb question, but I am a brand-new iPhone user and former Treo user, so I am used to a different set-up when it comes to connecting to my mobile carrier's data network. I can successfully connect my iPhone to my wireless (airport) network, but when I'm out on the street, I thought that the AT&T data network would pick up where the wireless left off. But, nothing happening. I'm used to the Treo having a VPN settings page. On my iPhone, there are no VPN configurations. I signed up for a data plan with AT&T, so I thought they would have configured the phone with the settings. Can anyone fill me in on some missing information? Thanks!

I did some more digging for information last night and figured out how to get online when not connected to WiFi. Thanks! Problem solved.
This page: http://www.apple.com/support/iphone/troubleshooting/calls/
explained it all to me.

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