1. Bring it into Recovery mode (DFU mode).
2. Restore it with correct ipsw (firmware file). One location you can pull it from is http://www.redmondpie.com/jailbreak-and-unlock-.Once you cross this stage, you use BlackRa1n RC3. This is available from http://www.blackra1n.com. Run this and this will jailbreak it. I first unlocked my iPhone 3G using this. However these days it does not seem to work for me. So I keep it as unlock tool.
5. Once you have unlocked you will see a new icon in your system called blackra1n. Open this and install Cydia. Though Rock is supposed to be cleaner, it didnt help me with the required software.
3. After you open Cydia, select SOURCE and add a new source http://repo666.ultrasn0w.com
4. The entire procedure with Cydia might take a little longer but believe me it is worth it.
5. Install ultrasn0w and you will get a prompt asking to reboot.
6. This should help with getting the unlock and adding it to any carrier.

Please let me know if it helps or if you need some specific help. I was in the same rocky boat as you sometime back after upgrading to iOS4 and not being able to unlock it. Good luck mate!!