SIM unlock for Nokia Lumia 520

Hi everyone,
I have got a Nokia Lumia 520 for a present. I live in Macedonia, Europe. After I got it I saw it was locked to US carrier AT&T and that I cant use it here. So now the phone has no function. How can I unlock it, AT&T wont do it I already tried. So looks like unlocking it myself is the way. Can anyone help me please...?      Thanks.
P.S. In Macedonia doing this isn't illegal so why shouldn't I..?