AT&T can disconnect the GPRS/Edge/3G data connection so you will never be able to use the feature, but there are also a couple of things you can do:
If you never want to use GPRS/Edge/3G data connection, you can delete the connection settings:
Tap Start > Settings > Connections tab > Connections icon > Under the first heading, select "Manage existing connections"
Press & hold your stylus on the GPRS settings for your carrier > select Delete.
At some point in time, if you'd like to use the data connection, you can set the connection up again with minimal effort.
You can also disable the settings by
creating a dummy GPRS setting. You'd do this if you want to disable the settings, but leave them intact in case you need to use a GPRS/Edge/3G connection later on.