You'll want to research what frequencies the carriers in Italy support first, but the Atrix rolls on 800, 900, 1800, and 1900. Those frequencies are pretty universal so you should be fine. Orange supports them for sure.
To unlock simply call AT&T and give them your IMEI number and ask for the SIM unlock code. They'll give you an unlock code. Then all you need to do is boot the phone up with a non-AT&T SIM and put in the code. I called AT&T last night for this and got the code with no problems.
If by chance they won't give you the code (account status, longevity with AT&T, etc. factor into it) there are third party sites that you can pay to give you the code, as the codes originate with Motorola originally. Those sites and their fees, discount codes, etc. have been covered in other threads.