OK, my problem solved.
I tried MANY different options. The last option worked (of course).
1. Removed latest version of iTunes. I believe it is 8.2b10
This version does not allow the updating of carrier file (.ipcc)
1a. Installed iTunes 8.2b7
2. Restored iPhone to 3.0 beta 5
3. Tested phone, Data Access did not work
4. Hooked up phone to itunes again
5. Did Shift-Update
Selected file ATT_US.icc (attached)
6. Clicked on Open
7. Settings updated
8. Rebooted phone (Power - Home until white apple on screen)
9. Went to Network settings and setup the right APN for AT&T
APN: wap.cingular
Username:
WAP@CINGULARGPRS.COM
Password: CINGULAR1
Viola !! Works like a charm. There is even tethering option. Not tested yet, bu appears for selection to enable.
Good luck.