You're close.

Usually when you buy a phone from a company, it will be locked which means you can only use it for that carrier. There is software out there to unlock phones and usually your service provider will do it for around $25 I believe.

What you're looking for is an unlocked phone, which means it can be used with any sim card on certain networks.

I want to buy a SonyEricsson P910, which can work on the AT&T system, but which AT&T does not offer. What's the process? Is it about switching the SIM card? do you have to unlock the P910, or just install the SIM card? And is this the same basic routine for using any phone with a carrier that doesn't offer it themselves - that is, order the service with a phone that has a SIM card, buy the phone of choice, and switch SIM cards?
I know this is a beginner's question, but that's what I am - I have just come to realize that there is a whole world of cool phones out there beyond the scope of what the carriers offer, and I am looking specifically for a bluetooth enabled smartphone that can sync with my macintosh.

thanks -
donald